# J.M.

Burgerscentrum
Research School for Fluid Mechanics
Finite element methods for
the incompressible Navier-Stokes equations
Ir. A. Segal
2008
Delft University of Technology
Faculty of Electrical Engineering, Mathematics and Computer Science
Delft Institute of Applied Mathematics
Copyright © 2008 by Delft Institute of Applied Mathematics, Delft, The Netherlands.
No part of this work may be reproduced, stored in a retrieval system, or transmitted, in any
form or by any means, electronic, mechanical, photocopying, recording, or otherwise, without
the prior written permission from Delft Institute of Applied Mathematics, Delft University
of Technology, The Netherlands.
Contents
1 Introduction 5
2 Introduction to the ﬁnite element method 8
2.1 Diﬀerential equations and boundary conditions . . . . . . . . . . . . . . . . . 8
2.2 Weak formulation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
2.3 The Galerkin method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
2.4 The ﬁnite element method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
2.5 Computation of the element matrix and element vector . . . . . . . . . . . . 15
2.6 Higher order elements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
2.7 Structure of the large matrix . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
3 Convection-diﬀusion equation by the ﬁnite element method 22
3.1 Formulation of the equations . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
3.2 Standard Galerkin . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
3.3 Solution of the system of ordinary diﬀerential equations . . . . . . . . . . . . 24
3.4 Accuracy aspects of the SGA . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
3.5 Streamline Upwind Petrov Galerkin . . . . . . . . . . . . . . . . . . . . . . . 30
3.6 Some classical benchmark problems for convection-diﬀusion solvers . . . . . . 35
4 Discretization of the incompressible Navier-Stokes equations by standard
Galerkin 39
4.1 The basic equations of ﬂuid dynamics . . . . . . . . . . . . . . . . . . . . . . 39
4.2 Initial and boundary conditions . . . . . . . . . . . . . . . . . . . . . . . . . . 40
4.3 Axisymmetric ﬂow . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
4.4 The weak formulation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43
4.5 The standard Galerkin method . . . . . . . . . . . . . . . . . . . . . . . . . . 45
4.6 Treatment of the non-linear terms . . . . . . . . . . . . . . . . . . . . . . . . 46
4.7 Necessary conditions for the elements . . . . . . . . . . . . . . . . . . . . . . . 48
4.8 Examples of admissible elements . . . . . . . . . . . . . . . . . . . . . . . . . 50
4.9 Solution of the system of linear equations due to the discretization of Navier-
Stokes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53
5 The penalty function method 56
5.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56
5.2 The discrete penalty functions approach . . . . . . . . . . . . . . . . . . . . . 57
5.3 The continuous penalty function method . . . . . . . . . . . . . . . . . . . . . 58
5.4 Practical aspects of the penalty function method . . . . . . . . . . . . . . . . 60
6 Divergence-free elements 62
6.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62
6.2 The construction of divergence-free basis functions for 2D elements . . . . . . 63
6.3 The construction of element matrices and vectors for (approximate) divergence-
free basis functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
6.4 Boundary conditions with respect to the divergence-free elements . . . . . . . 69
6.5 Computation of the pressure . . . . . . . . . . . . . . . . . . . . . . . . . . . 70
6.6 Practical aspects of the divergence-free elements . . . . . . . . . . . . . . . . 71
3
7 The instationary Navier-Stokes equations 72
7.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 72
7.2 Solution of the instationary Navier-Stokes equations by the method of lines . 72
7.3 The pressure-correction method . . . . . . . . . . . . . . . . . . . . . . . . . . 74
A Derivation of the integration by parts for the momentum equations 78
4
1 Introduction
In this second course on numerical ﬂow problems we shall focus our attention to two speciﬁc
subjects:
- the solution of the incompressible Navier-Stokes equations by ﬁnite elements;
- the eﬃcient solution of large systems of linear equations.
Although, at ﬁrst sight there seems no connection between both subjects, it must be remarked
that the numerical solution of partial diﬀerential equations and hence also of the Navier-Stokes
equations, always results in the solving of a number of large systems of sparse linear systems.
Since, in general the solution of these systems and the storage of the corresponding matrices
take the main part of the resources (CPU time and memory), it is very natural to study
eﬃcient solution methods.
In the ﬁrst part of these lectures we shall be concerned with the discretization of the incom-
pressible Navier-Stokes equations by the ﬁnite element method (FEM). First we shall give a
short introduction of the FEM itself. The application of the FEM to potential problems is
considered and the extension to convection-diﬀusion type problems is studied. The Galerkin
method is introduced as a natural extension of the so-called weak formulation of the partial
diﬀerential equations. One of the reasons why ﬁnite elements have been less popular in the
past than ﬁnite diﬀerences, is the lack of upwind techniques. In the last decade, however,
accurate upwind methods have been constructed. The most popular one, the so-called stream-
line upwind Petrov-Galerkin method (SUPG), will be treated in Chapter 3. It is shown that
upwinding may increase the quality of the solution considerably. Another important aspect of
upwinding is that it makes the systems of equations more appropriate for the iterative meth-
ods treated in part II. As a consequence both the number of iterations and the computation
time decrease.
In Chapter 4 the discretization of the incompressible Navier-Stokes equations is considered.
Since the pressure is an unknown in the momentum equations but not in the continuity equa-
tion, the discretization must satisfy some special requirements. In fact one is no longer free to
choose any combination of pressure and velocity approximation but the ﬁnite elements must
be constructed such that the so-called Brezzi-Babuˇska (or BB) condition is satisﬁed. This
condition makes a relation between pressure and velocity approximation. In ﬁnite diﬀerences
and ﬁnite volumes the equivalent of the BB condition is satisﬁed if staggered grids are ap-
plied. Even if the BB condition is satisﬁed we are still faced with a problem with respect to
the solution of the linear systems of equations. The absence of the pressure in the continuity
equation induces zeros at some of the diagonal elements of the matrix. In general linear
solvers may be inﬂuenced by such zeros, some iterative solvers even do not allow non-positive
diagonal elements. For that reason alternative solution methods have been developed, which
all try to segregate the pressure and velocity computation.
Chapter 5 treats the most popular segregated method, the so-called penalty function formu-
lation. In this approach the continuity equation is perturbed with a small compressibility
including the pressure.
From this perturbed equation the pressure is expressed in terms of velocity and this is sub-
stituted into the momentum equations. In this way the velocity can be computed ﬁrst and
afterwards the pressure. A disadvantage of this method is that the perturbation parameter
5
introduces extra complications.
In Chapter 6 an alternative formulation is derived, the so-called solenoidal approach. In this
method, the elements are constructed in such a way that the approximate divergence freedom
is satisﬁed explicitly. To that end it is necessary to introduce the stream function as help
unknown. This method seems very attractive, however, the extension to three-dimensional
problems is very diﬃcult.
Finally, in Chapter 7, methods for the time-dependent incompressible Navier-Stokes equa-
tions are treated. For this type of methods an alternative segregation is possible, the so-called
pressure-correction method. This method is also popular in ﬁnite diﬀerences and ﬁnite vol-
umes.
In the second part we consider the eﬃcient solution of large system of linear equations. As
applications and examples we mostly use systems of equations resulting from the discretiza-
tion of 2- and 3 dimensional partial diﬀerential equations.
We start in Chapter 2.1 by considering direct methods as there are: Gaussian elimination
and Cholesky decomposition. These methods are used if the dimension of the system is not
too large. Since these methods are implemented on computers we consider the behavior of
the methods with respect to rounding errors. For large problems the memory requirements
of direct methods are a bottle neck, using special methods for banded, proﬁle or ”general
sparse” matrices we can solve much larger systems. These methods only use the non zero
part of the resulting decomposition.
In Chapter 2 we consider classical iterative methods for linear equations. These methods are
very cheap with respect to memory requirements. However, convergence can be very slow so
the computing time may be much larger than for direct methods.
In Chapter 3 and 4 we consider modern iterative methods of Krylov subspace type. In Chapter
3 the conjugate gradient method for symmetric positive deﬁnitive matrices, and in Chapter 4
Krylov methods for general matrices. The rate of convergence is much better than for basic
iterative methods, whereas no knowledge of the spectrum is needed in contrast with some
basic iterative methods. A drawback for general matrices is that there are many methods
proposed and until now there is no clear winner. We shall summarize the most successful
ones and try to give some guidelines for choosing a method depending on the properties of
the problem.
The Krylov subspace methods become much faster if they are combined with a preconditioner.
For the details we refer to Chapter 5. We only note that in essence a preconditioned Krylov
method is a combination of a method given in chapter 3 and 4 and a basic iterative method
or an incomplete direct method.
In many applications eigenvalues give information of physical properties (like eigenmodes) or
they are used to analyze, and enhance mathematical methods for solving a physical problem.
If only a small number of eigenvalues are needed for a very large matrix it is a good idea to
use iterative methods, which are given in Chapter 6. We start with the Power method which
is easy to understand, and approximate the largest eigenvalue. Thereafter we consider the
Lanczos method for symmetric matrices, which is closely related to the CG method. Again
for general matrices diﬀerent methods are proposed and it is not always clear, which one is
6
the best.
Finally in Chapter 7 we give a summary of present day supercomputers. There are mainly
two types: vector- and parallel computers. For the problems considered in this report super-
computers are necessary to obtain results for large 3 dimensional problems. At this moment
vector computers give the best results, with respect to computing time and memory. However,
we expect that in the near future parallel computers (especially those based on a clustering
of very fast nodes) will beat them for real live problems.
7
2 Introduction to the ﬁnite element method
2.1 Diﬀerential equations and boundary conditions
The ﬁnite element method (FEM) may be considered as a general discretization tool for
partial diﬀerential equations. In this sense the FEM forms an alternative for ﬁnite diﬀerence
methods (FDM) or ﬁnite volume methods (FVM). The main reason to use the FEM is its
ability to tackle relatively easily, problems that are deﬁned on complex geometries. However,
the programming of ﬁnite element methods is more complicated than that of ﬁnite diﬀerences,
and hence in general requires standard software packages.
In this lecture we shall restrict ourselves to the application of the FEM to two general types of
diﬀerential equations: the convection-diﬀusion equation and the incompressible Navier-Stokes
equations. The last type of equations are the subject of Chapter 4, and convection-diﬀusion
type of equations will be the subject of Chapter 3. In this introductory chapter we shall
neglect the convective terms and focus ourselves to diﬀusion type problems:
ρ
∂c
∂t

n
¸
i,j=1

∂x
i

a
ij
∂c
∂x
j

+βc = f (2.1)
where c denotes the unknown, for example the potential, temperature or concentration. The
matrix A with elements a
ij
represents the diﬀusion tensor and is supposed to be symmetric
and positive deﬁnite. The coeﬃcient β is zero in many practical problems, but is added for
the sake of generality. f represents a source term and ρ
∂c
∂t
the time-derivative part, where
ρ must be positive in the instationary case. All coeﬃcients ρ, a
ij
, β and f may depend on
time and the space variable x. n is the dimension of space which in our applications varies
from 1 to 3.
If the coeﬃcients also depend on the solution, the equations become non-linear. In this
chapter we restrict ourselves to linear problems only.
Equation 2.1 is usually written in vector notation:
ρ
∂c
∂t
−div (A∇c) +βc = f, (2.2)
where ∇ denotes the gradient operator.
In this chapter we shall only consider stationary problems, so equation (2.2) reduces to
−div(A∇c) +βc = f (2.3)
In order that equation (2.3) has a unique solution, and to make the problem well posed it is
necessary to prescribe exactly one boundary condition at each part of the boundary. In the
sequel the region at which the diﬀerential equation is deﬁned is called Ω and its boundary is
denoted by Γ. Common boundary conditions in equation (2.3) are:
c = g
1
on Γ
1
, (2.4)
A∇c · n = g
2
on Γ
2
, (2.5)
σc +A∇c · n = g
3
on Γ
3
(σ ≥ 0), (2.6)
8
where the boundary Γ is subdivided into three parts Γ
1
, Γ
2
and Γ
3
.
Boundary conditions of type (2.4) are called Dirichlet boundary conditions, boundary con-
ditions of type (2.5) Neumann conditions and boundary conditions of type (2.6) are called
Robbins boundary conditions. In fact (2.5) may be considered as a special case of (2.6).
Other types of boundary conditions may also be applied, but they will not be studied in this
lecture.
It can be shown that equation (2.3) with boundary conditions (2.4) to (2.6) has a unique so-
lution provided the coeﬃcients and the boundary of the region are suﬃciently smooth. Only
in the special case Γ
1
= φ, Γ
3
= φ and β = 0, the function ϕ is determined up to an additive
constant. In that case the functions f and g
2
must satisfy the compatibility condition

f dΩ = −

Γ
g
2
dΓ . (2.7)
(2.7) can be derived by integrating equation (2.3) over the domain Ω and applying the Gauss
divergence theorem.
2.2 Weak formulation
Before applying the FEM to solve equation (2.3) under the boundary conditions (2.4) to (2.6),
it is necessary to transform the equation into a more suitable form. To do that there are two
alternatives:
1. one can derive an equivalent minimization problem, which has exactly the same solution
as the diﬀerential equation.
2. one can derive a so-called weak formulation.
Both methods lead ﬁnally to exactly the same result, however, since for the general equations
to be treated in Chapters 2 and 4, no equivalent minimization problem exists, we shall restrict
ourselves to method 2.
Originally the weak formulation has been introduced by pure mathematicians to investigate
the behavior of the solution of partial diﬀerential equations, and to prove existence and
uniqueness of the solution. Later on numerical schemes have been based on this formulation
which lead to an approximate solution in a constructive way.
The weak formulation of equation (2.3) can be derived by multiplying (2.3) by a so-called
test function v and integrating over the domain. So:

(−div(A∇c) +βc) v dΩ =

fv dΩ . (2.8)
The choice of the class of functions to which v belongs, determines whether (2.8) has a solution
and whether this solution is unique.
It is common practice to apply integration by parts to equation (2.8) in order to get rid of
the second derivative term. integration by parts is derived by applying the Gauss divergence
theorem:

div a dΩ =

Γ
a · n dΓ (2.9)
9
to the function
a = v A∇c . (2.10)
Hence
div a = div(vA∇c) = ∇v · A∇c +vdiv A∇c . (2.11)
Substitution of (2.11) in (2.9) yields

vdiv A∇c dΩ = −

∇v · A ∇c dΩ +

Γ
v A∇c · ndΓ (2.12)
and so (2.8) can be written as

{A∇c · ∇v +βcv} dΩ −

Γ
vA∇c · ndΓ =

fvdΩ . (2.13)
The boundary conditions (2.4) to (2.6) are applied by evaluating the boundary integral at
(2.13) if possible. This boundary integral can be subdivided into three parts:

Γ
vA∇c · ndΓ =

Γ
1
vA∇c · ndΓ +

Γ
2
vA∇c · ndΓ +

Γ
3
vA∇c · ndΓ . (2.14)
On boundary Γ
1
we have the boundary condition c = g
1
. Since this boundary condition can
not be incorporated explicitly in (2.14) we demand that the function c in (2.13) satisﬁes (2.4)
and furthermore in order to get rid of the boundary integral over Γ
1
:
v = 0 at Γ
1
. (2.15)
On boundary Γ
2
we can substitute the boundary condition (2.5) and the same is true for
boundary Γ
3
. For that reason we do not demand anything for the solution c or the test
function v at these boundaries.
The boundary condition (2.4) is called essential, since it should be satisﬁed explicitly. The
boundary conditions (2.5), (2.6) are called natural, since they are implicitly satisﬁed by the
formulation. These terms are in ﬁrst instance motivated by the corresponding minimization
problem.
The weak formulation corresponding to equation (2.3) under the boundary conditions (2.4)
to (2.6) now becomes:
ﬁnd c with c|
Γ
1
= g
1
such that

{A∇c · ∇v +βcv} dΩ +

Γ
3
σ cv dΓ =

fv dΩ +

Γ
2
g
2
v dΓ +

Γ
3
g
3
v dΓ , (2.16)
for all functions v satisfying v|
Γ
1
= 0.
Furthermore it is necessary to demand some smoothness requirements for the functions c and
v. One can prove that it is suﬃcient to require that all integrals in (2.16) exist, which means
that both ∇c and ∇v must be square integrable.
We see in this expression that an essential boundary condition automatically implies that the
10
corresponding test function is equal to zero, whereas the natural boundary conditions do not
impose any condition either to the unknown or to the test function. It is not immediately
clear whether a boundary condition is essential or natural, except in the case where we have a
corresponding minimization problem. In general, however, one can say that for second order
diﬀerential equations, all boundary conditions containing ﬁrst derivatives are natural, and a
given function at the boundary is essential.
In fourth order problems the situation is more complex. However, for physical problems, in
general, one can state that if the boundary conditions contain second or third derivatives
they are natural, whereas boundary conditions containing only the function or ﬁrst order
derivatives are essential. The easiest way to check whether a boundary condition is essential
or natural is to consider the boundary integrals. If in some way the boundary condition can
be substituted, the boundary condition is natural. Otherwise the condition is essential and
the test functions must be chosen such that the boundary integral vanishes.
2.3 The Galerkin method
Formulation (2.16) is one of the various possible weak formulations. However, it is the most
common one and also the most suitable for our purpose. In the FEM we use formulation (2.16)
instead of (2.3)-(2.6) to derive the discretization. Starting point is the so-called Galerkin
method. In this method the solution c is approximated by a linear combination of expansion
functions the so-called basis functions:
c
n
(x) =
n
¸
j=1
c
j
ϕ
j
(x) +c
0
(x) (2.17)
where the parameters c
j
are to be determined. The basis functions ϕ
j
(x) must be linearly
independent.
Furthermore they must be such that an arbitrary function in the solution space can be ap-
proximated with arbitrary accuracy, provided a suﬃcient number of basis functions is used
in the linear combination (2.17). The function c
0
(x) must be chosen such that c
n
(x) satisﬁes
the essential boundary conditions. In general this means that
c
0
(x) = g at Γ
1
(2.18)
ϕ
j
(x) = 0, at Γ
1
(2.19)
In order to determine the parameters c
j
(j = 1, 2, ..., n) the test functions v are chosen in the
space spanned by the basis functions ϕ
1
(x) to ϕ
n
(x).
It is suﬃcient to substitute
v(x) = ϕ
i
(x) i = 1(1)n (2.20)
into equations (2.16). This leads to a linear system of n equations with n unknowns. The
choice (2.20) implies immediately that v satisﬁes the essential boundary conditions for v.
After substitution of (2.17) and (2.20) into (2.16) we get the so-called Galerkin formulation

{A∇c
n
· ∇ ϕ
i
+β c
n
ϕ
i
} dΩ +

Γ
3
σc
n
ϕ
i

=

f ϕ
i
dΩ +

Γ
2
g
2
ϕ
i
dΓ +

Γ
3
g
3
ϕ
i
dΓ , (2.21)
11
with c
n
=
n
¸
j=1
c
j
ϕ
j
+c
0
.
Hence
n
¸
j=1
c
j

{A∇ϕ
j
· ∇ϕ
i
+β ϕ
i
ϕ
j
}dΩ +

Γ
3
σ ϕ
j
ϕ
i

=

f ϕ
i
dΩ +

Γ
2
g
2
ϕ
i
dΓ +

Γ
3
g
3
ϕ
i
dΓ −

{A∇c
0
· ∇ ϕ
i
+β c
0
ϕ
i
} dΩ . (2.22)
Clearly (2.22) is a system of n linear equations with n unknowns, which can be written in
matrix-vector notation as
S c = F , (2.23)
with
s
ij
=

{A∇ϕ
j
· ∇ϕ
i
+β ϕ
i
ϕ
j
} dΩ +

Γ
3
σ ϕ
j
ϕ
i
dΓ , (2.24a)
F
i
=

f ϕ
i
dΩ +

Γ
3
g
2
ϕ
i
dΓ +

Γ
3
g
3
ϕ
i
dΓ −

{A∇c
0
· ∇ϕ
i
+β c
0
ϕ
i
} dΩ .
(2.24b)
2.4 The ﬁnite element method
The FEM oﬀers us a constructive way to create the basis functions ϕ
i
and to compute the
integrals in (2.24a-2.24b) in a relatively simple way. To that end the region Ω is subdivided
into simple elements. In IR
1
these elements are intervals, in IR
2
laterals and in IR
3
tetrahedra and hexahedra are very popular. The subdivision of a region
in elements is performed by a so-called mesh generator.
In each element a number of nodal points are chosen and the unknown function is approxi-
mated by a polynomial. Although other types of approximations are permitted it is common
practice to restrict one selves to lower degree polynomials (linear or quadratic). These poly-
nomial approximations implicitly deﬁne the basis functions ϕ
i
.
For example a piecewise linear polynomial in IR
1
deﬁned on n elements e
i
(x
i−1
, x
i
) (see Fig-
ure 2.1),
n
x x x x
f
f
f
f
0 1 n-1 n
0
1
n-1
Figure 2.1: Piecewise linear approximation of function f(x)
can be written as
f
n
(x) =
n
¸
j=0
f(x
j

j
(x), (2.25)
12
where λ
j
(x) is deﬁned as follows:

λ
j
(x) is linear on each element,
λ
j
(x
k
) = δ
jk
.
(2.26)
So in terms of the Galerkin method the function values f(x
j
) take the role of the parameters
and the shape functions λ
j
(x) the role of the basis functions. Figure 2.2 shows a typical linear
basis function ϕ
i
(x).
i
x x x
ϕ
i-1 i i+1
(x)
Figure 2.2: Example of a linear basis function
In the case of so-called quadratic elements in IR
1
we deﬁne the vertices as well as the centroid
as nodal points and the basis functions ϕ
i
(x) are deﬁned by

ϕ
i
(x) is quadratic on each element,
ϕ
i
(x
j
) = δ
ij
. (2.27)
Figure 2.3 shows the two types of quadratic basis functions we may expect in IR
1
.
i+1/2
b) a)
x x x x x x x x
i-1 i-1/2 i i+1 i-1 i-1/2 i
Figure 2.3: Quadratic basis functions in IR
1
a) corresponding to vertex b) corresponding to
midpoint
In IR
2
and IR
3
the basis functions are merely extensions of the one-dimensional basis functions.
Typical elements in IR
2
have been sketched in Figure 2.4.
With respect to the linear elements, the boundaries of the elements are usually straight,
however for quadratic elements, the boundaries of the elements may be quadratic in order to
get a good approximation of the boundary. In general one can state that the boundary must
be approximated with the same type of polynomials as the solution. Once the basis functions
have been constructed it is necessary to compute the integrals (2.24a) and (2.24b) in order
to build the matrix and right-hand side of the system of equations (2.23). For a typical ﬁnite
element grid as the one depicted in Figure 2.5, these computations seem rather complicated.
For that reason the integrals over the region are split into integrals over the elements, i.e.

{A∇ϕ
i
· ∇ϕ
i
+β ϕ
i
ϕ
j
} dΩ =
ne
¸
k=1

e
k
{A∇ϕ
i
· ∇ϕ
i
+β ϕ
i
ϕ
j
} dΩ, (2.28)
13
d) a) b) c)
Figure 2.4: Examples of elements inIR
2
: a) linear triangle, b) quadratic triangle, c) bilinear
X
Y
Figure 2.5: Typical example of a two-dimensional ﬁnite element mesh.
and so on. In (2.28) n
e
is the number of elements and Ω
e
k
is the area of element e
k
. Since
the mesh generator produces automatically the topological information of the mesh, it is an
easy task for the computer to carry out the additions. If we restrict ourselves to a typical
element e
k
, then it is clear that only a very little number of the possible integrals

e
k
{A∇ϕ
i
· ∇ϕ
i
+β ϕ
i
ϕ
j
} dΩ (2.29)
are unequal to zero. Only those basis functions corresponding to nodal points in the element
e
k
have a non-zero contribution to the integrals. So it is suﬃcient to compute only those
integrals that are non-zero on the element and store them in a so-called element matrix. For
a linear triangle such an element matrix is for example of size 3 ×3.
In exactly the same way it is natural to introduce the so-called element vector, which in a
linear triangle reduces to a 3 ×1 vector, with elements

e
k
f ϕ
i
dΩ (2.30)
In order to compute the boundary integrals in (2.24a) and (2.24b) so-called boundary elements
or line elements are introduced. These boundary elements are identical to the intersection
14
of the internal elements with the boundaries Γ
2
and Γ
3
and have no other purpose then to
evaluate the boundary integrals. Here we have assumed that the boundary is identical to the
outer boundary of the elements.
Hence we get:

Γ
3
σ ϕ
i
ϕ
j
dΓ =
n
be
3
¸
k=1

Γ
e
k
3
σ ϕ
i
ϕ
j

Γ
2
g
2
ϕ
i
dΓ =
n
be
2
¸
k=1

Γ
e
k
2
g
2
ϕ
i

Γ
3
g
3
ϕ
i
dΓ =
n
be
3
¸
k=1

Γ
e
k
3
g
3
ϕ
i

(2.31)
2.5 Computation of the element matrix and element vector
The evaluation of the system of equations (2.23), (2.24a-2.24b) is now reduced to the compu-
tation of some integrals over an arbitrary element. For the sake of simplicity we shall restrict
ourselves to IR
2
. As an example we consider the computation of the integral given by (2.29):
S
e
k
ij
=

e
k
{A∇ϕ
j
· ∇ϕ
i
+β ϕ
j
ϕ
i
} dΩ (2.32)
Before we are able to compute this integral it is necessary to compute the basis functions ϕ
i
.
For a so-called linear triangle (see Figure 2.6), ϕ
i
(x) = λ
i
(x) is deﬁned by (2.26).
From (2.26,(1)) it follows that:
λ
i
(x) = a
i
0
+a
i
1
x +a
i
2
y (2.33)
and from (2.26,(2)):
XA = I , with
A =

a
1
0
a
2
0
a
3
0
a
1
1
a
2
1
a
3
1
a
1
2
a
2
2
a
2
2
¸
¸
¸ X =

1 x
1
y
1
1 x
2
y
2
1 x
3
y
3
¸
¸
¸ (2.34)
and hence A = X
−1
3
1
2
Figure 2.6: Linear triangle with local numbering
where the local numbering of Figure 2.6 is used. A necessary condition for the existence of
15
λ
i
(x) is that the determinant of the matrix to be inverted is unequal to zero.
This determinant is given by:
△ = (x
2
−x
1
)(y
3
−y
2
) −(y
2
−y
1
)(x
3
−x
2
) (cyclic) (2.35)
One can prove that |△| is equal to two times the area of the triangle, hence the triangle may
not deform to a line. In practice it is necessary that the largest angle of the triangle is limited
by some angle (for example 150

).
The coeﬃcients a
i
1
and a
i
2
are easily computed from (2.34) and one immediately veriﬁes that
they are given by:
a
1
1
=
1

(y
2
−y
3
) a
2
1
=
1

(y
3
−y
1
) a
3
1
=
1

(y
1
−y
2
)
a
1
2
=
1

(x
3
−x
2
) a
2
2
=
1

(x
1
−x
3
) a
3
2
=
1

(x
2
−x
1
) .
(2.36)
Since ∇λ
i
=
¸
a
i
1
a
i
2
¸
, (2.36) immediately deﬁnes the gradient of ϕ
i
.
In general the integral (2.32) can not be computed exactly and some quadrature rule must
be applied. A quadrature rule has usually the shape:

e
k
Int (x)dΩ =
m
¸
k=1
w
k
Int (x
k
), (2.37)
where m is the number of quadrature points in the element, w
k
are the weights and x
k
the
co-ordinates of the quadrature points. We distinguish between the so-called Newton-Cotes
rule based upon exact integration of the basis functions and so-called Gauss quadrature.
The weights and quadrature points of the Gauss rules can be found in the literature, see for
example Strang and Fix (1973) or Hughes (1987).
The Newton-Cotes rule can be derived by:
Int (x) =
n+1
¸
k=1
Int (x
k
) ϕ
k
(x), (2.38)
where n + 1 is the number of basis functions in the element, and application of the general
rule:

simplex
λ
m
1
1
λ
m
2
2
. . . λ
m
n+1
n+1
dΩ =
m
1
! m
2
! . . . m
n+1
!
(m
1
+m
2
+. . . +m
n+1
+n)!
|△|, (2.39)
where n denotes the dimension of space. For a proof, see Holand and Bell (1969), page 84.
From (2.28) and (2.39) it follows that the Newton-Cotes rule for the linear element is deﬁned
by:

en
Int (x)dΩ =
|△|
6
3
¸
k=1
Int (x
k
), (2.40)
where x
k
is the k
th
vertex of the triangle.
Application of (2.40) to (2.32) gives
S
e
k
ij
=
|△|
6
3
¸
k=1
A(x
k
)∇ ϕ
i
· ∇ ϕ
j
+β(x
k

ij
(2.41)
16
In the same way (2.30) may be approximated by
f
e
k
i
=
|△|
6
f(x
i
) . (2.42)
In order to evaluate the boundary integrals (2.31) we use linear boundary elements as sketched
in Figure 2.7.
1
2
Figure 2.7: Linear boundary element in IR
2
, with local numbering.
One easily veriﬁes that the Newton-Cotes rule for this element is identical to the trapezoid
rule:

Γ
e
Int(x) =
h
2
(Int(x
1
) + Int(x
2
)) , (2.43)
where h is the length of the element:
h =

(x
2
−x
1
)
2
+ (y
2
−y
1
)
2
(2.44)
Application of (2.43) to the three integrals (2.31) gives

Γ
e
k
3
σ ϕ
i
ϕ
i
dΓ =
h
2
σ(x
i

ij
,

Γ
e
k
2
g
2
ϕ
i
dΓ =
h
2
g
2
(x
i
),

Γ
e
k
3
g
3
ϕ
i
dΓ =
h
2
g
3
(x
i
).
(2.45)
2.6 Higher order elements
In (2.5) we have derived the element matrix and vector for linear triangles. However, in
practice also other types of elements are used. A simple extension of the linear triangle is for
example the quadratic triangle. For that element both the vertices and the mid-side points
are used as nodal points. See Figure 2.8 for the deﬁnition of the nodes. One can verify
that the basis functions ϕ
i
(x) may be expressed in terms of the linear basis function λ
i
(x)
by:
ϕ
i
(x) = λ
i
(2λ
i
−1), i = 1, 2, 3,
ϕ
ij
(x) = 4λ
i
λ
j
, 1 ≤ i < j ≤ 3.
(2.46)
See for example Cuvelier et al (1986) for a derivation.
Quadrilateral elements are not so easy to derive. Nodal points will be either the vertices
(bi-linear elements) or the vertices and midside points (bi-quadratic elements). However to
derive the basis function the quadrilateral is mapped onto a square reference element.
Such a mapping is plotted in Figure 2.9.
17
3
1 12 2
23 13
Figure 2.8: Quadratic triangle with nodal points and local numbering.
2
T
3 4
y
1
x
1 2
3 4
η
ξ
Figure 2.9: Mapping T from quadrilateral in (x, y)-plane onto square in (ξ, η) plane.
All basis functions are derived in the reference element by choosing products of one-dimensional
basis functions. Also all integrals to be computed over the quadrilateral are transformed to
integrals over the reference element.
For example:

e
k
xy
A∇ϕ
i
· ∇ϕ
i
+β ϕ
i
ϕ
j
dΩ
xy
=

e
k
ξη
{A∇ϕ
i
· ∇ϕ
i
+β ϕ
i
ϕ
j
} |J| dΩ
ξη
, (2.47)
where J is the Jacobian of the transformation. The transformation itself is a so-called isopara-
metric transformation deﬁned by the basis functions in the following way:

x
y

=
4
¸
k=1
ϕ
i
(ξ, η)

x
k
y
k

. (2.48)
For details of the derivation of basis functions and element matrices and vectors the reader
is referred to Cuvelier et al (1986).
2.7 Structure of the large matrix
The ﬁnite element method applied to the linear diﬀerential equation (2.3) leads to linear
systems of equations of the form (2.23):
S c = F (2.49)
The matrix is often referred to as the stiﬀness matrix. From the relation (2.24a) it is clear that
this matrix is symmetric. Furthermore one can prove that the matrix S is positive deﬁnite,
18
except in the case of Neumann boundary conditions and β = 0, in which case the matrix is
singular because the original problem is singular.
If we consider a number of adjacent triangles in a mesh as sketched in Figure 2.10, then it is
clear that the basis function corresponding to nodal point i is only non-zero in those elements
l
i
n
m
k
j
O
Figure 2.10: Nodal point i with direct neighbors j −o as part of a triangular mesh.
containing node i. As a consequence products with basis functions that correspond to nodes
not in these triangles are zero.
If we identify row i in matrix S with nodal point i, it is clear that only the entries s
ii
, s
ij
, . . . , s
io
may be unequal to zero. All other matrix elements in row i are identical to zero. So we see
that in the matrix S, only a very limited number of entries is non-zero. Such a matrix is
called sparse.
If the numbering of the nodal points is chosen in a clever way, the sparse matrix S may
have a band structure. For example if we consider the mesh in Figure 2.11 with rectangular
elements, then a natural numbering is to use either a horizontal or a vertical numbering of
m
1 2 n
1
2
Figure 2.11: Rectangular elements in a rectangle, with n nodes in horizontal and m nodes in
vertical direction.
the nodes. Figure 2.12a shows that in case of a horizontal numbering the band width is equal
19
to 2n +3, where n is the number of nodes in horizontal direction. Figure 2.12b shows that a
vertical numbering leads to a band width of 2m+ 3, with m the number of nodes in vertical
direction. Hence an optimal band width is achieved if nodes are numbered in the shortest
direction.
b) a)
i+1 i+m+1
i-m
i
i-m+1
i-m-1 i-1 i+m-1
i+m
i+n i+n+1
i
i-n i-n+1
i+1 i-1
i-n-1
i+n-1
Figure 2.12: Connections of node i with neighbors a) horizontal numbering b) vertical num-
bering.
In general ﬁnite element meshes are not so structured as the one in Figure 2.11. and so locally
a larger band width may be present. A typical example is sketched in Figure 2.13
band
profile
Figure 2.13: Example of a matrix with a local wide proﬁle.
The external non-zero elements in this matrix deﬁne the so-called proﬁle. A very simple ex-
ample of a proﬁle matrix is created by a one-dimensional example with periodical boundary
conditions as sketched in Figure 2.14. In this example point i is connected to points i −1 and
i + 1 leading to a band width of 3. However, because of the periodical boundary conditions,
(n=1) 1 2 n-1
Figure 2.14: One-dimensional mesh, for problem with periodical boundary conditions.
point n and 1 have the same unknown and point 1 is connected to both n − 1 and 2. Point
n − 1 connected to n − 2 and 1. The corresponding matrix gets the structure as sketched in
Figure 2.15. The band width of this matrix is equal to n −1, which means that in case of a
band storage, the matrix is full. The proﬁle sketched in Figure 2.15b is much smaller.
20
a) b)
Figure 2.15: a) non-zero pattern of one-dimensional problem with periodical boundary con-
ditions, b) corresponding proﬁle.
Methods employing the band-structure are called band methods, whereas methods using the
proﬁle of the matrix only are called proﬁle methods. Both methods belong to the class of
direct solvers. Iterative methods fully utilize the sparsity pattern of the matrix and are there-
fore recommended in case of problems with many unknowns.
A good numbering may reduce the band width or the proﬁle of the matrix considerably. For
ﬁnite element methods various renumbering algorithms have been constructed. Many of them
are variants of the so-called Cuthill-Mckee renumbering algorithm. See for example George
and Liu (1981).
Part II of this book is devoted to eﬃcient methods for the solution of systems of equations of
the form (2.49).
21
3 Convection-diﬀusion equation by the ﬁnite element method
3.1 Formulation of the equations
In this chapter we shall investigate the solution of convection-diﬀusion equations of the shape:
ρ
∂c
∂t

n
¸
i,j=1

∂x
i
(a
ij
∂c
∂x
j
) +
n
¸
i=1
u
i
∂c
∂x
i
+βc = f . (3.1)
Compared to equation (2.1), equation (3.1) is extended with the convective term
n
¸
i=1
u
i
∂c
∂x
i
, (3.2)
or in vector notation
(u · ∇ c) , (3.3)
where u denotes the velocity.
In the stationary case, (3.1) reduces to:
−div (A ∇ c) + (u · ∇c) +βc = f . (3.4)
For a unique solution of (3.4) it is necessary to prescribe exactly one boundary condition at
each part of the boundary. Theoretically exactly the same type of boundary conditions as
for equation (2.3) may be used. In many practical ﬂow problems, however, the convection
term strongly dominates the diﬀusive terms. Numerically this means that the character of
the equations resembles more that of the pure convection equation than that of the diﬀusion
equation. For a pure convection equation, boundary conditions should only be given at inﬂow
not at outﬂow. Since for the convection-diﬀusion equation, boundary conditions must be
given at outﬂow, it is advised to use those boundary conditions that inﬂuence the solution as
little as possible. In general this means that at outﬂow one usually applies natural boundary
conditions; Dirichlet boundary conditions may result in unwanted wiggles.
With respect to the instationary equation it is not only necessary to prescribe boundary
conditions, but also to deﬁne an initial condition.
In the remainder of this chapter we shall study the discretization of the convection-diﬀusion
equation by ﬁnite elements and standard Galerkin. It will be shown that this discretization
might introduce inaccurate solutions in the case of dominant convection. For that reason
an upwinding technique is introduced. It will be shown that this upwinding improves the
accuracy considerably.
3.2 Standard Galerkin
In order to apply the standard Galerkin approach (SGA) the weak formulation of (3.1) under
the boundary conditions (2.4) - (2.6) is derived.
22
Multiplication of (3.1) by a time-independent test function v and integration over the domain
yields:

ρ
∂c
∂t
vdΩ +

{−div (A∇c) + (u · ∇c) +βc}vdΩ =

fvdΩ . (3.5)
After application of the Gauss divergence theorem, which results in relation (2.12), (3.5) can
be written as

ρ
∂c
∂t
vdΩ +

{(A∇c · ∇v +βcv +u · ∇c)v}dΩ −

Γ
vA∇c · ndΓ =

fvdΩ . (3.6)
Substitution of the boundary conditions in the same way as is performed in Chapter 2 results
in the weak formulation:
Find c(x, t) with c(x, 0) given and c|
Γ
1
= g
1
such that

ρ
∂c
∂t
vdΩ +

{(A∇c · ∇v) +u · ∇cv +βcv}dΩ +

Γ
3
σcvdΓ =

fvdΩ +

Γ
2
g
2
vdΓ +

Γ
3
g
3
vdΓ , (3.7)
for all functions v(x) satisfying v|
Γ
1
= 0 .
In the SGA the weak form (3.7) is approximated by a ﬁnite dimensional subspace. To that
end we deﬁne time-independent basis functions in exactly the same way as for the potential
problem. The solution c is approximated by a linear combination of the basis functions:
c
h
(x, t) =
n
¸
j=1
c
j
(t)ϕ
j
(x) +c
0
(x, t) . (3.8)
The basis functions ϕ
j
(x) and the function c
0
(x, t) must satisfy the same requirements as in
Chapter 2, i.e. (2.18) and (2.19) are still necessary.
For the test functions v(x) again the basis functions ϕ
i
(x) (i = 1, 2, ..., n) are substituted. So
ﬁnally we arrive at the Galerkin formulation:
n
¸
j=1
∂c
j
∂t

ϕ
i
ϕ
j
dΩ +
n
¸
j=1
c
j
{

[(A∇ϕ
j
· ∇ϕ
i
) + (u · ∇ϕ
j

i
+βϕ
i
ϕ
j
]dΩ
+

Γ
3
σϕ
i
ϕ
j
dΓ} =

i
dΩ +

Γ
2
g
2
ϕ
i
dΓ +

Γ
3
g
3
ϕ
i
dΓ (3.9)

{(A∇c
0
· ∇ϕ
i
) +βc
0
ϕ
i
+ (u · ∇c
0

i
}dΩ −

∂c
0
∂t
ϕ
i
dΩ , i = 1(1)n .
Clearly (3.9) forms a system of n linear ordinary diﬀerential equations with n unknowns,
which can be written in matrix-vector notation as
M˙ c +Sc = F , (3.10)
23
where
.
denotes diﬀerentiation with respect to time, M is the so-called mass matrix and S
the stiﬀness matrix. The elements of the matrices and right-hand side are deﬁned by:
m
ij
=

ϕ
i
ϕ
j
dΩ (3.11a)
s
ij
=

{(A∇ϕ
j
· ∇ϕ
j
) + (u · ∇ϕ
j

i
+βϕ
i
ϕ
j
}dΩ +

Γ
3
σϕ
i
ϕ
j
dΓ (3.11b)
F
i
=

i
dΩ −

{(A∇c
0
· ∇ϕ
i
) + (u · ∇c
0

i
+βc
0
ϕ
i
}dΩ

∂c
0
∂t
ϕ
i
dΩ +

Γ
2
g
2
ϕ
i
dΓ +

Γ
3
g
3
ϕ
i
dΓ . (3.11c)
The construction of the basis functions and the computation of the integrals is exactly the
same as for the potential problem. The only extra parts are the time-derivative with the mass
matrix and the extra convective terms in the stiﬀness matrix. Due to these extra convective
terms the stiﬀness matrix becomes non-symmetric.
The computation of the mass-matrix can be performed exactly or by a quadrature rule. In
general M has exactly the same structure as S. However, if the integrals (3.11a) are computed
by the Newton Cotes rule corresponding to the basis functions, the matrix M reduces to a
diagonal matrix. In that case one speaks of a lumped mass-matrix. A non-lumped mass
matrix is also known as a consistent mass matrix. The (dis-)advantages of both types of
matrices will be treated in Paragraphs 3.3 and 3.5.
In the next paragraph we shall consider some methods to solve the instationary equations.
After that, problems in case of a dominant convective term will be investigated and a upwind
technique will be introduced.
3.3 Solution of the system of ordinary diﬀerential equations
The discretization of the instationary convection-diﬀusion equation results in a system of
ordinary diﬀerential equations of the shape (3.10). In order to solve this system of equations
any classical method for the solution of ordinary diﬀerential equations may be used.
In general one may distinguish between explicit and implicit methods and between one-step
and multi-step methods. In this chapter we shall restrict ourselves to one-step methods only.
That means that to compute the solution at a certain time-step only information of the
preceding time-step is used and not of older time-steps.
In most ordinary diﬀerential equation solvers the time derivative in (3.10) is replaced by a
forward diﬀerence discretization:
˙ c =
c
k+1
−c
k
∆t
, (3.12)
where k denotes the present time-level and k + 1 the next time-level. A method is called
explicit if the term Sc is only taken at the time-level k. As soon as Sc is also taken at the
new time-level k + 1, the method is called implicit. The reason is that in that case always a
system of equations has to be solved, even if the matrix M is the identity matrix.
Among the many available methods for solving the system (3.10) we restrict ourselves to the
24
so-called θ-method:
M
c
k+1
−c
k
∆t
+θSc
k+1
+ (1 −θ)Sc
k
= θF
k+1
+ (1 −θ)F
k
, 0 ≤ θ ≤ 1 , (3.13)
The most common values for θ are:
θ = 0 , Explicit Euler
θ = 1 , Implicit Euler and
θ = 1/2 , Implicit Heun or Crank Nicolson.
For θ = 0, (3.13) reduces to
Mc
k+1
= (M −∆tS)c
k
+ ∆tF
k
. (3.14)
Although it concerns an explicit method, we still have to solve a system of equations. However,
in the case of a lumped mass matrix, the solution implies only the inversion of a diagonal
matrix. In that case an explicit method is relatively cheap. A clear disadvantage of an explicit
method is that the time-step must be restricted in order to get a stable solution. For example
in the case of a pure time-dependent diﬀusion problem a stability criterion of the shape
∆t ≤ C∆x
2
(3.15)
is required, where C is some constant and ∆x a local diameter of the elements.
In the case of a dominant convection, the Euler explicit method is not longer stable and one
should use either an implicit method or a higher order explicit method. For such problems
the classical fourth order Runge Kutta method is a good choice.
For θ = 1 (3.13) reduces to
(M + ∆tS)c
k+1
= Mc
k
+ ∆tF
k+1
,
which is a purely implicit method. One can show that this method is unconditionally stable,
for the convection equation (see for example Cuvelier et al 1986), so the only reason to restrict
the time-step is because of accuracy requirements. It can be easily veriﬁed that the accuracy
of both the implicit and the explicit Euler time-discretization is of O(∆t). The implicit Euler
method belongs to the class of ultra-stable methods, which means that errors in time always
will be damped.
The most accurate scheme is achieved for θ = 1/2 (Crank Nicolson). This scheme can be
written as
(M +
∆t
2
S)c
k+1
= (M −
∆t
2
S)c
k
+
∆t
2
(F
k
+F
k+1
) . (3.16)
One can show that this scheme is also unconditionally stable and that the accuracy is one
order higher, i.e. of O(∆t
2
). This scheme does not have the damping property of Euler
implicit and as a consequence once produced errors in time will always be visible. This one
usually starts in these cases with one step Euler implicit.
So the solution of the systems of ordinary diﬀerential equations is always reduced to a time-
stepping algorithm in combination with matrix-vector multiplications, and sometimes the
solution of a system of linear equations.
25
For θ = 0 it is easier to replace the θ-method (3.13) by the so-called modiﬁed θ-method:
M
c
k+θ
−c
k
∆t
+θSc
k+θ
= F
k+θ
, 0 ≤ θ ≤ 1 (3.17)
c
k+1
=
1
θ
c
k+θ
+
1 −θ
θ
c
k
(3.18)
One can prove that equation (3.13) is equal to equation (3.17) if the system of equations to be
solved is linear. In case of a non-linear system the approximation (3.17) is of the order ∆t
2
.
A clear advantage of (3.17) above (3.13) is that the matrix to be solved is always independent
of θ and that no explicit matrix-vector multiplication is required.
A disadvantage of the θ-method is the ﬁxed θ. It could be advantageous to combine a number
of diﬀerent θ’s per time step in such a way that second order accuracy is accomplished, and
some damping is ensured as well. Two methods that oﬀer this opportunity are the fractional
θ-method and the generalized θ-method. The latter is a generalization of the fractional θ-
method, so we will restrict ourselves to the description of the generalized θ-method. We
rewrite equation ( 3.13) as follows, letting Σ
k
=
¸
k
i=1
θ
i
:
c
n+Σ
2
= c
n
+ ∆t

θ
1
f(x, t
n
) +θ
2
f(x, t
n+Σ
2
)

c
n+Σ
4
= c
n+Σ
2
+ ∆t

θ
3
f(x, t
n+Σ
2
) +θ
4
f(x, t
n+Σ
4
)

(3.19)
.
.
.
.
.
.
c
n+Σ
2k
= c
n+Σ
2k−2
+ ∆t

θ
2k−1
f(x, t
n+Σ
2k−2
) +θ
2k
f(x, t
n+Σ
2k
)

There are two necessary conditions:
1. Σ
2k
= 1 for a k-stage method. This gives a ﬁrst order method, and is only a scaling
requirement.
2.
¸
k
i=1
θ
2
2i−1
=
¸
k
i=1
θ
2
2i
to guarantee second order accuracy.
A third condition is optional, but guarantees some damping:
1. θ
2i−1
= 0 for at least one i ∈ 1, . . . , k.
This condition includes at least one Implicit Euler step per time step.
The generalized θ-method is a 3-stage method, and is therefore 3 times as expensive as the
Crank-Nicolson method. However, one may choose ∆t
genθ
= 3 · ∆t
CN
to accomplish similar
results for both methods. A common choice for the generalized θ-method is the following
‘optimum’ for k = 3:
θ
1
= θ
5
=
α
2
, θ
3
= 0,
θ
2
= θ
6
= α

3
6
, θ
4
= α

3
3
(3.20)
α =

1 +
2

3

−1
.
26
A common choice for the fractional θ-method is the following:
θ
1
= θ
5
= βθ, θ
3
= α(1 −2θ),
θ
2
= θ
6
= αθ, θ
4
= β(1 −2θ), (3.21)
α =
1 −2θ
1 −θ
, β =
θ
1−θ
,
θ = 1 −
1
2

2.
3.4 Accuracy aspects of the SGA
One can show that the SGA in combination with the FEM yields an accuracy of O(h
k+1
),
where h is some representative diameter of the elements and k is the degree of the polynomials
used in the approximation per element. However, this is only true for problems where the
convection does not dominate the diﬀusion. As soon as the convection dominates, the accuracy
strongly decreases as can be seen in Table 3.1, which shows the accuracy of the following
artiﬁcial mathematical example:
−ε△c +u · ∇c = f , x ∈ Ω (3.22a)
c(x, y) = sin(x) sin(y) , x ∈ Γ (3.22b)
where u =

x
y

and f = 2ε sin(x) sin(y) +x cos(x) sin(y) +y sin(x) cos(y) . (3.22c)
One easily veriﬁes that the exact solution of this problem is given by
c(x, y) = sin(x) sin(y) . (3.23)
This problem has been solved on the square (0, 1)×(0, 1) using linear and quadratic elements.
Table 3.1 shows the maximal error for ε = 1, 10
−3
respectively 10
−6
and triangular elements.
The results for quadrilaterals are comparable. In the linear case a subdivision in 6×6, 11×11
respectively 21 × 21 nodes has been made, in the quadratic case only 11 × 11 and 21 × 21
nodes have been used. From this table we may draw the following conclusions:
number of linear triangles quadratic triangles
nodes ε = 1 ε = 10
−3
ε = 10
−6
ε = 1 ε = 10
−3
ε = 10
−6
6 ×6 3.0
10
−4 3.3
10
−2 3.9
10
1 - - -
11 ×11 7.6
10
−5 4.1
10
−3 1.5
10
0 8.0
10
−6 5.4
10
−3 2.2
10
0
21 ×21 1.9
10
−5 1.0
10
−3 8.4
10
−2 6.3
10
−7 4.8
10
−4 9.8
10
−2
Table 3.1: Error in max-norm of convection-diﬀusion problem (3.22a-3.22c) for various values
of ε. Linear and quadratic triangles
- for relatively small convection the accuracy of the linear elements is O(h
2
), and for the
3
),
- for convection-dominant ﬂow the numerical solution is very inaccurate especially for
coarse grids,
27
- the use of quadratic elements makes only sense for problems with small convection.
Remark: the conclusions are based on an example with a very smooth solution. For prob-
lems with steep gradients the conclusion may be diﬀerent, especially for the quadratic
elements, in which cases the O(h
3
) cannot be expected anymore.
The most important part of the conclusion is that SGA is not a good method for convection-
dominant ﬂows. This conclusion is also motivated by the following less trivial problem.
Rotating cone problem
Consider the region Ω sketched in Figure 3.1. The region consists of a square with a cut B. In

(0,0)
y
B
(-1/2, -1/2)
(1/2, 1/2)
(0, -1/2)
x
Figure 3.1: Deﬁnition region for rotating cone problem
the inner region we suppose that the concentration satisﬁes the convection-diﬀusion equation
−ε△c +u · ∇c = 0 , (3.24)
where ε is chosen equal to 10
−6
and the velocity u is such that the ﬂow rotates counter
clockwise. This is achieved by setting u =
¸
−y
x
¸
. At the outer boundary we use the
boundary condition
c|
Γ
= 0 . (3.25)
On the starting curve B the concentration c is set equal to
c|
B
= cos(2π(y +
1
4
)) , (3.26)
and due to the small diﬀusion one expects that the concentration at the end curve is nearly
the same. The end curve has the same co-ordinates as B but the nodal points diﬀer, which
means that the solution may be diﬀerent from the starting one. Since no boundary condition
is given at the outﬂow curve ”B” implicitly the boundary condition
ε
∂c
∂n
|
B
= 0 , (3.27)
is prescribed.
28
Figure 3.2 shows a 23 × 23 mesh consisting of triangles. The direction of the diagonals in
the squares are chosen randomly. Figure 3.3 shows the lines of equal concentration. For the
exact solution these should be concentration circles with levels 0, 0.1, . . . , 10. However, the
standard Galerkin method completely destroys the result. Finally Figure 3.4 shows a 3D plot
of the concentration, which contains a large number of wiggles. It must be remarked that the
solution is relatively smooth in the case of a grid consisting of squares or triangles all pointing
in the same direction.

Figure 3.2: Triangular mesh for rotating cone problems random diagonals.
1
2
2
2
2
2
2
2
2 2
2
2
2
2
3
3
3
3
3
3
3
3
4
4
4
5
5
5
5
5
6
6
6
6
7
7
7
7
8
8
8
8
8
8
8
8
9
9
9
9
9
9
9
9
9
9
9
9 9
9
9
9
9
9
9
9
9
10
10
10
10
10
10 10
10
10
10
10
10 10
10
10
10
10
10
10
11
LEVELS
1 -.263
2 -.122
3 .019
4 .161
5 .302
6 .443
7 .585
8 .726
9 .867
10 1.009
11 1.150
Figure 3.3: Equi-concentration lines for rotating cone problem computed by SGA.
29

Figure 3.4: 3D plot of concentration in rotating cone problem computed by SGA.
3.5 Streamline Upwind Petrov Galerkin
In the previous paragraph we have seen that the SGA method may lead to wiggles and
inaccurate results for convection-dominant ﬂows. In ﬁnite diﬀerences this phenomenon is
well known for a long time and one has tried to solve it by so-called upwind methods. This
has motivated researchers in ﬁnite elements to construct schemes, which are comparable to
classical ﬁnite diﬀerence upwind schemes. Among the various upwind techniques for the
FEM, the streamline upwind Petrov-Galerkin method (SUPG) is the most popular one. This
method has ﬁrst been derived by Brooks and Hughes (1982) and is later on improved by a
large number of authors.
Starting point for SUPG is the weak formulation (3.5). However, instead of choosing the test
function in the same space as the solution a test function ¯ v is introduced according to
¯ v = v +p , (3.28)
where v is the classical test function and p denotes a correction in order to take care of the
upwinding part. Substitution of (3.28) in (3.5) gives:

ρ
∂c
∂t
(v +p)dΩ +

{−div (A∇c) +u · ∇c +βc}(v +p)dΩ =

f(v +p)dΩ . (3.29)
The function v is chosen in the same space as the solution, which means that the ﬁrst derivative
is square integrable. However, with respect to the function p, we assume that it may be
discontinuous over the elements. As a consequence Gauss’ divergence theorem may only be
applied to the v part of (3.29). Hence after integration by parts we get

ρ
∂c
∂t
vdΩ +

{A∇c · ∇v + (u · ∇c)v +βcv}dΩ +

Γ
3
σcvdΓ
+

∂c
∂t
−div A∇c +u · ∇c +βc −f}pdΩ =

fvdΩ +

Γ
2
g
2
vdΓ +

Γ
3
g
3
vdΓ .
(3.30)
Actually the second derivative of c does not have to exist over the element boundaries and is
certainly not integrable in the examples of elements we have given before. So we are not able
to compute the integral containing the p term. In order to solve that problem the integral
is split into a sum of integrals over the elements, and the inter-element contributions are
30
neglected. So instead of (3.30) we write:

ρ
∂c
∂t
vdΩ +

{A∇c · ∇v + (u · ∇c)v +βcv}dΩ +

Γ
3
σcvdΓ
+
ne
¸
k=1

e
k

∂c
∂t
−div A∇c +u · ∇c +βc}pdΩ =

fvdΩ +

Γ
2
g
2
vdΓ +

Γ
3
g
3
vdΓ +
ne
¸
k=1

e
k
fpdΩ . (3.31)
One can see that the approximation (3.31) itself is consistent since it consists of a standard
Galerkin part, which itself is consistent, and a summation of residuals of the diﬀerential
equation per element multiplied by a function. With consistency we mean that at least the
constant and ﬁrst term of the Taylor series expansion of the solution are represented exactly.
At this moment the choice of the function p per element is completely free. However, it is
clear that the choice of p actually deﬁnes the type of SUPG method used. In fact a complete
class of diﬀerent SUPG methods may be deﬁned by diﬀerent choices of p.
A common choice for the function p is inspired by the one-dimensional stationary diﬀusion
equation:
−ε
d
2
c
dx
2
+u
dc
dx
= 0 , (3.32)
with boundary conditions
c(0) = 0 , c(1) = 1 . (3.33)
The solution of (3.32), (3.33) is sketched in Figure 3.5 for ε = 0.01. It has a steep gradient in
the neighborhood of x = 1. The size of this gradient depends on the value of ε. The smaller
ε, the steeper the gradient. If a central diﬀerence scheme:
−ε
c
i+1
−2c
i
+c
i−1
∆x
2
+u
c
i+1
−c
i−1
2∆x
= 0 , (i = 1, 2, ..., n) , (3.34)
c
0
= 0 , c
n+1
= 1 ,
is applied with an equidistant step-size ∆x, the solution shows wiggles as long as ∆x >
2
Pe
,
where the Peclet number Pe is deﬁned as
Pe =
u
ε
. (3.35)
Figure 3.5 shows an example for ∆x = 0.1, u = 1 and ε = 0.01.
In the classical ﬁnite diﬀerence upwind scheme one tries to get rid of these wiggles by replacing
the ﬁrst derivative by a backward diﬀerence scheme provided the velocity u is positive. The
idea for this choice is based on the fact that for a pure convection problem all information is
transported from left to right and hence the discretization of the convective term should also
be based upon information from the left. Figure 3.6 shows the result of the upwinding; the
wiggles have been disappeared and the numerical solution has been smoothed. This ﬁgure
makes it clear that, although backward diﬀerences suppress the wiggles, it also makes the
31
0.0 0.2 0.4 0.6 0.8 1.0
-1.0
-0.8
-0.6
-0.4
-0.2
0.0
0.2
0.4
0.6
0.8
1.0
x
y

Figure 3.5: Solution of equation (3.32) for ε = 0.01 and u = 1: — exact solution,
−◦ − numerical solution for ∆x = 0.1 and central diﬀerences.
.0 .2 .4 .6 .8 1.0
-1.0
-.8
-.6
-.4
-.2
.0
.2
.4
.6
.8
1.0
x
y

Figure 3.6: Solution of equation (3.32) for ε = 0.01 and u = 1; — exact solution, -+- numerical
solution for ∆x = 0.1 and backward diﬀerences.
solution inaccurate. In the literature many upwinding schemes for ﬁnite diﬀerence methods
have been derived which are much more accurate than the backward diﬀerence scheme.
The backward diﬀerence scheme for (3.32), (3.33) reads:
−ε
c
i+1
−2c
i
+c
i−1
∆x
2
+u
c
i
−c
i−1
∆x
= 0 (i = 1, 2, ..., n) , (3.36)
c
0
= 0 , c
n+1
= 1 .
Using Taylor series expansion one can show that (3.36) gives a local truncation error of

u∆x
2
d
2
c
dx
2
+O(∆x
2
) , (3.37)
which is only of order ∆x instead of ∆x
2
. Moreover, the second derivative appears in the
truncation error, which implies that in fact one may consider (3.36) as the discretization of a
32
convection-diﬀusion equation with a diﬀusion of
ε +
u∆x
2
. (3.38)
In fact (3.36) can be derived by taking the central diﬀerence scheme of the diﬀerential equation
−(ε +
u∆x
2
)
d
2
c
dx
2
+u
dc
dx
= 0 , (3.39)
c(0) = 0 , c(1) = 1 .
The term −
u∆x
2
d
2
c
dx
2
is usually called artiﬁcial diﬀusion. Many of the upwind schemes in
ﬁnite diﬀerences may be considered as a central diﬀerence scheme with artiﬁcial diﬀusion.
For example the exact solution of (3.32) is constructed by the Il’in scheme, which may be
considered as a central diﬀerence scheme with artiﬁcial diﬀusion equal to
u∆x
2
¯
ξ
d
2
c
dx
2
, (3.40a)
¯
ξ = coth (α) −
1
α
, α =
u∆x

. (3.40b)
Diﬀerent schemes lead to diﬀerent choices of
¯
ξ. The following values of
¯
ξ are commonly
proposed:
Classical upwind scheme
Il’in scheme
Double asymptotic approximation
Critical approximation
¯
ξ = sign(α) , (3.41a)
¯
ξ = coth(α) −1/α . (3.41b)
¯
ξ =

α/3 −3 ≤ α ≤ 3
sign(α) |α| > 3 .
(3.41c)
¯
ξ =

−1 −1/α α ≤ −1
0 −1 ≤ α ≤ 1
1 −1/α α ≥ 1 .
(3.41d)
The last choice is such that the amount of artiﬁcial diﬀusion is minimal in order to get a
diagonally dominant matrix. In this way it may be considered as a variant of the so-called
hybrid method.
This observation motivates us to choose the function p such that an artiﬁcial diﬀusion of the
form (3.40a) is constructed. If we conﬁne ourselves to linear elements, the second derivative
of the approximate solution is zero per element and hence SUPG applied to (3.32), (3.33)
reduces to

{u
dc
h
dx
v
h

dc
h
dx
dv
h
dx
}dΩ +
ne
¸
k=1

e
k
p
h
u
dc
h
dx
dΩ = 0 , (3.42)
where c
h
is deﬁned by (3.8), v
h
represents the discretized classical test function and p
h
the
discretization of the extra function p.
In order to get an artiﬁcial diﬀusion of the shape (3.40a) it is suﬃcient to choose p
h
equal to
p
h
=
h
¯
ξ
2
dv
h
dx
, (3.43)
33
where h = ∆x.
With Taylor series expansion it can be shown that if
¯
ξ is chosen according to one of the
possible values of (3.41a-3.41d) (except the choice
¯
ξ = 1), the accuracy of the scheme is
O(∆x
2
) +εO(∆x), which may be considered to be of O(∆x
2
) for small values of ε.
If the step size ∆x is not a constant, h in formula (3.43) must be replaced by the step size. For
quadratic elements h equal to half the local element width, has proven to be a good choice.
If we apply the SUPG method based upon formula (3.43) in 2D in each of the directions, a
typical cross-wind diﬀusion arises. That means that the solution perpendicular to the ﬂow
direction is smoothed and becomes inaccurate. For that reason the SUPG method must be
extended in such a way that the upwinding is applied in the direction of the ﬂow only. Brooks
and Hughes (1982) have solved this problem by giving the perturbation parameter p a tensor
character
p =
h
¯
ξ
2
u · ∇v
h
u
. (3.44)
In this formula h is the local element width, which may depend on the quadrature point.
Mizukami (1985) has extended (3.44) for triangles.
Many extensions of the SUPG method have been proposed, all based on diﬀerent choices of
the function p. These improvements usually have a special function, for example to create
monotonous solutions (Rice and Schnipke 1984), discontinuity capturing (Hughes et al 1986),
or for time-dependent problems (Shahib 1988).
The SUPG method diﬀers from the classical upwind methods in the sense that not only the
advective term is perturbed, but also the right-hand side and the time derivative. This has
two important consequences:
- the treatment of source terms is considerably better than for classical upwind techniques.
- the mass matrix is non-symmetric and may not be lumped. Hence explicit methods are
as expensive as implicit ones.
Table 3.2 shows the example of Table 3.1 but now with SGA replaced by SUPG. The im-
provement for small values of ε and coarse grids is immediately clear. This table does not
clearly show the accuracy of the method in terms of orders ∆x
p
. Besides the accuracy as-
number of linear triangles quadratic triangles
nodes ε = 1 ε = 10
−3
ε = 10
−6
ε = 1 ε = 10
−3
ε = 10
−6
6 ×6 6.0
10
−4 5.2
10
−3 5.9
10
−3
11 ×11 1.6
10
−4 1.6
10
−3 2.0
10
−3 1.6
10
−5 2.8
10
−4 7.6
10
−5
21 ×21 4.0
10
−5 4.2
10
−4 5.5
10
−4 1.1
10
−6 1.3
10
−4 1.3
10
−5
Table 3.2: Error in max-norm of convection-diﬀusion problem (3.22a -3.22c) for various values
of ε Solution by SUPG. Linear and quadratic triangles.
pects the SPUG method has an another important advantage. The use of upwind makes the
matrices to be solved more diagonally dominant. As a consequence iterative matrix solvers
34
will converge much faster than for SGA. This will be demonstrated in Paragraph 3.6.
Finally we show some results of classical benchmark problems to investigate the behavior of
various schemes.
3.6 Some classical benchmark problems for convection-diﬀusion solvers
In this section we shall investigate the performance of the standard Galerkin approach as well
as the streamline upwind Petrov Galerkin method for some benchmark problems.
First we consider the rotating cone problem introduced in Section 3.4. The solution by SGA
is plotted in Figure 3.4. Figure 3.7 shows the lines of equal concentration produced by SUPG
and Figure 3.8 the corresponding three-dimensional plot. Exactly the same mesh as for the
central scheme is used. These pictures show a large qualitative improvement of the accuracy
compared to SGA. Not only the accuracy of the solution is enlarged considerably, also the
1
2
2
3
3
4
4
5
5
6
6
7
7
8
8
9
9
10
10
11
LEVELS
1 -.029
2 .075
3 .179
4 .284
5 .388
6 .492
7 .597
8 .701
9 .806
10 .910
11 1.014

Figure 3.7: Equi-concentration lines for rotating cone problem computed by SUPG.

Figure 3.8: 3D plot of concentration for rotating cone problem computed by SUPG
condition with respect to linear solvers. All previous pictures have been created by using a
direct linear solver. However, for large problems an iterative solver is much more attractive.
Numerical computations show that upwinding has a very important eﬀect on the number of
iterations necessary for reaching a certain level of accuracy. Table 3.3 shows the number of
iterations required to solve the rotating cone problem for ǫ = 10
−3
and ǫ = 10
−6
.
In this table SGA and SUPG are compared for various mesh sizes. From this table it is clear
35
that for small values of ǫ the SUPG method is superior to SGA with respect to iterative
solvers.
SGA SUPG
ǫ number of nodes accuracy 10
−3
accuracy 10
−6
accuracy 10
−3
accuracy 10
−6
10
−3
21 ×21 15 19 6 9
41 ×41 17 21 6 9
81 ×81 31 38 27 32
10
−6
21 ×21 - - 9 12
41 ×41 - - 13 17
81 ×81 - - 24 32
Table 3.3: Number of iterations by a preconditioned CGS solver for the solution of the rotating
cone problem of Section 3.4. SGA and SUPG. A - in the table means that no convergence
was possible.
As last benchmark problem we consider is a time-dependent one dimensional convection-
diﬀusion equation given by:
∂c
∂t
+u
∂c
∂x
= D

2
c
∂x
2
0 ≤ x ≤ 1 , (3.45)
c(x, 0) = sin π
x−a
b−a
a ≤ x ≤ b ,
c(x, 0) = 0 elsewhere, (3.46)
c(0, t) = c(1, t) = 0 ,
u = 1, D = 0.002, a = 0.2 and b = 0.4 . (3.47)
This benchmark problem has been solved by SGA with and without lumping of the mass
matrix and SUPG. Figures 3.9-3.11 shows the results of the various methods. These ﬁgures
show that lumping drastically decreases the accuracy of the numerical solution. Furthermore
for this moderate Peclet number, the standard Galerkin method performs a little bit better
than SUPG.
36
.0 .4 .8
-.2
.0
.2
.4
.6
.8
1.0
1.2
x
c

.0 .4 .8
-.2
.0
.2
.4
.6
.8
1.0
1.2
x
c

Figure 3.9:
SGA applied to (3.40)-(3.42)
40 linear elements, lumped mass matrix
– exact solution, + numerical solution
Figure 3.10:
SGA applied to (3.40)-(3.42)
40 linear elements, consistent mass matrix
– exact solution, numerical solution
37
.0 .4 .8
-.2
.0
.2
.4
.6
.8
1.0
1.2
x
c

Figure 3.9: SUPG with stationary upwind parameter applied to (3.40)-(3.42), 40 linear ele-
ments: – exact solution, + numerical solution
38
4 Discretization of the incompressible Navier-Stokes equations
by standard Galerkin
4.1 The basic equations of ﬂuid dynamics
In this chapter we shall consider ﬂuids with the following properties:
• The medium is incompressible,
• The medium has a Newtonian character,
• The medium properties are temperature independent and uniform,
• The ﬂow is laminar.
For a three-dimensional ﬂow ﬁeld the basic equations of ﬂuid ﬂow under the above restrictions,
can be written as:
The Continuity equation
div u =
∂u
1
∂x
1
+
∂u
2
∂x
2
+
∂u
3
∂x
3
= 0 . (4.1)
The Navier-Stokes equations
ρ

∂u
∂t
+ (u.∇)u

−div σ = ρf, (4.2)
in which u = (u
1
, u
2
, u
3
)
T
denotes the velocity vector, ρ the density of the ﬂuid, f =
(f
1
, f
2
, f
3
) the body force per unit of mass, and σ the stress tensor.
ρ

∂u
i
∂t
+u
1
∂u
i
∂x
1
+u
2
∂u
i
∂x
2
+u
3
∂u
i
∂x
3

∂σ
i1
∂x
1
+
∂σ
i2
∂x
2
+
∂σ
i3
∂x
3

= ρ f
i
, (i = 1, 2, 3) .
(4.3)
For an incompressible and isotropic medium the stress terms σ can be written as
σ = −p I +d = −p I + 2µ e , (4.4)
where p denotes the pressure,
I the unit tensor
e the rate of strain tensor,
d the deviatoric stress tensor and
µ the viscosity of the ﬂuid.
The components e
ij
of the tensor e are deﬁned by
e
ij
=
1
2

∂u
i
∂x
j
+
∂u
j
∂x
i

, (4.5)
so
σ
ij
= −pδ
ij

∂u
i
∂x
j
+
∂u
j
∂x
i

. (4.6)
39
If µ is constant it is possible to simplify the expression(4.2) by substitution of the incompress-
ibility condition (4.1) to
ρ

∂u
∂t
+ (u . ∇)u

−µ △ u +∇ p = ρf, (4.7)
however, we shall prefer expression (4.2) because boundary conditions will be implemented
more easily in (4.2) than in (4.7).
Equation (4.2) can be made dimensionless by the introduction of the Reynolds number Re
deﬁned by
Re =
ρUL
µ
, (4.8)
where U is some characteristic velocity and L a characteristic length. Substitution of (4.8)
into (4.2), (4.4) gives
∂u
∂t
+ (u . ∇)u −div σ = f (4.9a)
σ = −p I +
2
Re
e (4.9b)
provided ρ does not depend on the space coordinates.
4.2 Initial and boundary conditions
In order to solve the equations (4.1), (4.2), it is necessary to prescribe both initial and bound-
ary conditions. Since only ﬁrst derivatives of time are present in (4.2), it is suﬃcient to
prescribe the initial velocity ﬁeld at t = 0. Of course this velocity ﬁeld must satisfy the
incompressibility condition (4.1)
Since (4.2) is a system of second order diﬀerential equations in space, it is necessary to pre-
scribe boundary conditions for each velocity component on the complete boundary of the
domain. However, at high Reynolds numbers the convective terms dominate the stress tensor
and as a consequence the boundary conditions at outﬂow must be such that they restrict the
ﬂow as little as possible.
The continuity equation and the pressure play a very special role in the incompressible Navier-
Stokes equations. In fact there is a strong relation between both. It can be shown (Ladyshen-
skaya, 1969), that for incompressible ﬂows no explicit boundary conditions for the pressure
must be given. Usually boundary conditions for the pressure are implicitly given by prescrib-
ing the normal stress.
The following types of boundary conditions are commonly used for the two-dimensional in-
compressible Navier-Stokes equations (the extension to IR
3
is straight forward):
1 u given (Dirichlet boundary condition), (4.10a)
2 u
n
and σ
nt
given, (4.10b)
3 u
t
and σ
nn
given, (4.10c)
4 σ
nt
and σ
nt
given, (4.10d)
40
where u
n
denotes the normal component of the velocity on the boundary and u
t
the tangential
component. σ
nn
(n·σ·n) denotes the normal component of the stress tensor on the boundary
and σ
nt
(n · σ · t) the tangential component.
Typical examples of these boundary conditions are:
• At ﬁxed walls: no-slip condition u = o. This is an example of type (4.10b).
• At inﬂow the velocity proﬁle given: u = g. This is also an example of type (4.10b).
Typical inﬂow proﬁles are u
t
= 0, u
n
parabolic or u
t
= 0 and u
n
constant.
At outﬂow one may prescribe the velocity. However, for convection dominated ﬂows, such a
boundary condition may lead to wiggles due to inaccuracies of the boundary conditions. Less
restrictive boundary conditions are for example u
t
= 0 and σ
nn
= 0 or σ
nt
= 0 and σ
nn
= 0.
The ﬁrst one (u
t
= 0, σ
nn
= 0) prescribes a parallel outﬂow with zero normal stress. From
(4.6) it can be derived that
σ
nn
= −p +
2
Re
∂u
n
∂n
, (4.11)
and σ
nt
=
1
Re

∂u
n
∂t
+
∂u
t
∂n

. (4.12)
As a consequence for high Reynolds numbers σ
nn
is approximately equal to −p. So σ
nn
= 0
implies that implicitly p is set equal to zero.
The boundary condition u
t
= 0, σ
nn
= 0 is correct for channel ﬂow. The boundary condition
σ
nt
= 0, σ
nn
= 0 is in general not correct. For a channel ﬂow, in which case we have a
parabolic velocity proﬁle,
∂un
∂t
is linear and hence σ
nt
= 0. However, in practical situations we
usually do not have a channel ﬂow and it is very hard to formulate correct boundary conditions
at outﬂow. Vosse (1987) has shown that the boundary condition σ
nt
= 0, σ
nn
= 0, although
incorrect, may be a good choice in numerical computations.
He performed some experiments in the ﬂow over a backward facing step. Figure 4.1 shows
the streamlines for Re = 150, and the length of the channel after the step large enough. In
this case the ﬂow at the end may be considered as a channel ﬂow and the boundary condition
1 2 3
4 5
6 7

Figure 4.1: Streamlines in backward step. Length of channel is 44H, where H is the step
height. Outﬂow boundary conditions σ
nn
= 0, u
t
= 0. Only the part (−6H, 6H) is plotted.
u
t
= 0, σ
nt
= 0 is a good approximation. However, if we make the length of the channel
such that the outﬂow boundary intersects the recirculation zone, it is impossible to deﬁne
correct boundary conditions. Figure 4.2 shows the results of computations with the boundary
conditions σ
nt
= 0, σ
nn
= 0. The agreement with the computations in the long channel is
remarkably good.
For a free surface we have the condition that there is no ﬂow through the surface and that the
tangential stress is equal to zero. In that case we use the boundary condition u
n
= 0, σ
nt
= 0.
41
1 2 3
4 5
6 7
7
7
8
9
10
11
12
13

Figure 4.2: Streamlines in backward step. Length of channel is 12H. Outﬂow boundary
conditions σ
nn
= 0, σ
nt
= 0.
One can show that the equations (4.1), (4.2) with a given initial ﬂow ﬁeld and combinations
of boundary conditions of type (4.10b-4.10d) have a unique solution. There is, however, one
exception. If we solve the stationary incompressible Navier-Stokes equations with the velocity
prescribed on the complete boundary (actually each combination in which the normal velocity
component is prescribed), the velocity is unique, but the pressure is ﬁxed up to an additive
constant.
4.3 Axisymmetric ﬂow
Since in general three-dimensional ﬂow computations are very expensive, one usually tries
to reduce the dimension by considering symmetry in the ﬂow or neglect ﬂow in a certain
direction. The last possibility results in two-dimensional ﬂow, such as channel ﬂow. If we use
cylinder symmetry the ﬂow reduces to so-called axisymmetric ﬂow.
In such a case the Navier-Stokes equations and the velocity vector have to be transformed to
a cylindrical co-ordinate system with co-ordinates r, ϕ and z and velocity components u
r
, u
ϕ
and u
z
. In an axisymmetric ﬂow the variation in ϕ-direction is zero and all ϕ-derivatives
may be neglected. Whether the u
ϕ
component may be neglected depends on the ﬂow. In
a rotating ﬂow u
ϕ
is not equal to zero and we have in that case three velocity unknowns,
although we have only two directions.
The incompressible Navier-Stokes equations in cylinder co-ordinates are still given by the
expressions (4.1) and (4.2). However, the operators divergence and gradient as well as the
stress tensor get a diﬀerent shape:
∇v =

∂v
∂r
,
1
r
∂v
∂ϕ
,
∂v
∂z

T
, (4.13a)
div u =
1
r

∂ru
r
∂r
+
∂u
ϕ
∂ϕ
+
∂ru
z
∂z

= 0 , (4.13b)
σ
rr
= −p + 2µ
∂u
r
∂r
, σ
ϕϕ
= −p + 2µ

u
r
r
+
1
r
∂u
ϕ

ϕ

, (4.13c)
σ
zz
= −p + 2µ
∂u
z
∂z
, σ

= σ
ϕr
= µ

r

∂r

u
ϕ
r

+
1
r
∂u
r
∂ϕ

,
σ
ϕz
= σ

= µ

1
r
∂u
z
∂ϕ
+
∂u
ϕ
∂z

, σ
rz
= σ
zr
= µ

∂u
r
∂z
+
∂u
z
∂r

.
42
Note that in these expressions the term 1/r frequently occurs. As a consequence one has to
be careful in the numerical computations at r = 0. At the symmetry axis r = 0, we need
extra boundary conditions, the so-called symmetry conditions. One immediately veriﬁes that
these symmetry conditions are given by:
u
r
= 0 ,
∂u
z
∂r
= 0 , u
ϕ
= 0 at r = 0 , (4.14)
or translated to stresses:
u
r
= 0 , u
ϕ
= 0 and σ
nt
= 0 at r = 0 . (4.15)
4.4 The weak formulation
In the next paragraph we shall derive the standard Galerkin equation for the incompressible
Navier-Stokes equations. First we shall derive the weak formulation. In order to consider the
four boundary conditions (4.10b- 4.10d), we shall assume that the boundary consists of four
parts each with one of the boundary conditions (4.10b-4.10d). Furthermore we shall restrict
ourselves in this chapter to stationary problems. The instationary case will be treated in
Chapter 7.
Γ
Γ
Γ
3
Γ

4
1
2
Figure 4.3: Artiﬁcial example with region Ω and boundaries Γ
1
, Γ
2
, Γ
3
and Γ
4
.
Furthermore we restrict ourselves for the moment to the two-dimensional case. Figure 4.3
shows an artiﬁcial example of a region Ω with four boundaries Γ
1
to Γ
4
. On each of these
boundaries we have a diﬀerent type of boundary condition. The formulation of our example
is now: For x ∈ Ω solve u satisfying
div u = 0 , (4.16a)
−div σ +ρ(u · ∇ u) = ρf , (4.16b)
σ
ij
= −pδ
ij

∂u
i
∂x
j
+
∂u
j
∂x
i

, (4.16c)
u = g
1
for x ∈ Γ
1
, (4.16d)
u
n
= g
2
, σ
nt
= g
3
, x ∈ Γ
2
, (4.16e)
u
t
= g
4
, σ
nn
= g
5
, x ∈ Γ
3
, (4.16f)
σ
nt
= g
6
σ
nn
= g
7
, x ∈ Γ
4
. (4.16g)
43
In order to derive the weak formulation, equation (4.16a-4.16b) must be multiplied by test
functions. First equation (4.16a) is multiplied by a test function q resulting in

q div u dΩ = 0 (4.17)
The momentum equations (4.16b) consist of two equations, which may be each multiplied by
separate test functions v
1
and v
2
. If we deﬁne v = (v
1
, v
2
)
T
these equations can be combined
to:

(−div σ +ρ(u · ∇ u)) · v dΩ =

f · v dΩ . (4.18)
Choosing v
2
respectively v
1
equal to zero gives us the original weak formulation for each of
the equations.
The ﬁrst term in (4.18) may be further reduced by applying integration by parts (Gauss
theorem) to

(−div σ) · v dΩ =

σ · ∇ v dΩ −

Γ
(v
n
σ
nn
+v
t
σ
nt
)dΓ, (4.19)
where Γ denotes the boundary of Ω, v
n
the component of v in the normal direction and v
t
in
the tangential direction. For a derivation of formula (4.19) we refer to Appendix A.
In order to apply the boundary conditions (4.16d-4.16g), the boundary integral over Γ is split
into 4 parts Γ
1
, to Γ
4
.
On Γ
1
we have a prescribed velocity and hence the test function v is chosen equal to zero.
On boundary Γ
2
u
n
is prescribed and so v
n
is chosen equal to zero, and on boundary Γ
3
u
t
is
prescribed and v
t
is set equal to zero.
If we furthermore substitute relation (4.4) into (4.19), the ﬁrst term of (4.18) can be written
as:

−(div σ) · v dΩ =

2µ e · ∇ v dΩ −

p div v dΩ

Γ
2
g
3
v
t
dΓ −

Γ
3
g
5
v
n
dΓ −

Γ
4
g
6
v
t
+g
7
v
n
dΓ . (4.20)
Combinations of all these results leads to the weak formulation of the Navier-Stokes equations
(4.16a-4.16g):
Find u , p with
u = g
1
at Γ
1
, u
n
= g
2
at Γ
2
, u
t
= g
4
at Γ
3
,
such that

q div u dΩ = 0 , (4.21)

2µe · ∇ v dΩ +

ρ(u · ∇ u) · v dΩ −

p div v dΩ =

Γ
2
g
3
v
t
dΓ +

Γ
3
g
5
v
n
dΓ +

Γ
4
g
6
v
t
+g
7
v
n
dΓ +

ρf · v dΩ , (4.22)
44
for all v such that v = o at Γ
1
, v
n
= 0 at Γ
2
and v
t
= 0 at Γ
3
, and e given by (4.5).
We see that in the relations (4.21) and (4.22) no derivatives of p and q are necessary. Hence
it is suﬃcient that p and q are integrable. With respect to u and v, ﬁrst derivatives are
required and hence not only u and v but also their ﬁrst derivatives must be integrable. As
a consequence we do not need continuity of p and q in the Galerkin formulation, but the
functions u and v must be continuous over the element boundaries.
The weak formulation (4.21-4.22) shows a strong relation between u and v, as well as between
p and q. If we for example demand that both u and v are divergence free, then the ﬁrst
equation (4.21) vanishes and the pressure disappears from (4.22). Indeed in all theoretical
investigations with respect to the weak form of the Navier-Stokes equations, p and q are taken
from the same space and u and v are taken from the same space. This observation motivates
the choice of the basis functions in the standard Galerkin method.
4.5 The standard Galerkin method
In the standard Galerkin method we deﬁne two types of basis functions, basis function Ψ
i
(x)
corresponding to the pressure and functions ϕ
i
(x) corresponding to the velocity components.
We may combine the velocity basis functions into vector form by
ϕ
i1
(x) =

ϕ
i
(x)
0

, ϕ
i2
(x) =

0
ϕ
i
(x)

. (4.23)
Now the approximation of u and p will be deﬁned by
p
h
=
m
¸
j=1
p
j
Ψ
j
(x) , (4.24)
u
h
=
n
¸
j=1
u
1j
ϕ
j1
(x) +u
2j
ϕ
j2
(x) =
2n
¸
j=1
u
j
ϕ
j
(x) . (4.25)
In (4.25) u
j
is deﬁned by u
j
= u
1j
, (j = 1(1)n), u
j+n
= u
2j
, (j = 1(1)n) and ϕ
j
in the same
way. For simplicity the summation has been carried out over all degrees of freedom including
the prescribed ones at the boundary. The test functions, however, must only be coupled to
the free degrees of freedom. Mark that the number of basis functions ϕ
i
(x) and Ψ
i
(x) do
not have to be the same, nor that these basis functions must have the same shape. In fact,
in most practical applications ϕ
i
(x) and Ψ
i
(x) are chosen diﬀerently.
In order to get the standard Galerkin formulation we substitute v = ϕ
i
(x), q = Ψ
i
(x) into
the weak formulation (4.21-4.22).
In this way we get:
Find p
n
and u
n
deﬁned by (4.24),(4.25) such that

Ψ
i
div u
h
dΩ = 0 , i = 1(1)m , (4.26)
45
and

2µ (e
h
· ∇ ϕ
i
)dΩ +

ρ(u
h
· ∇ u
h
) · ϕ
i
dΩ

p
h
div ϕ
i
) dΩ =

Γ
2
g
3

i
· t) dΓ +

Γ
3
g
5

i
· n) dΓ
+

Γ
4
g
6

i
· t) +g
7

i
· n) dΓ +

ρf · ϕ
i
dΩ
(4.27)
where e
h
is given by (4.5); u replaced by u
h
i in (4.27) must be taken for all free degrees of freedom u
i
.
Expression (4.27) may be easily evaluated as long as n or t on the boundaries Γ
2
, Γ
3
and Γ
4
are in the direction of the co-ordinate axis. If they are not in that direction it is necessary
to transform the unknowns on the boundary locally such that they are expanded into normal
and tangential direction. The technique of local transformations is described in Zienkiewicz
and Taylor (1989).
The ﬁnite element method may be used to construct the basis functions ϕ
i
and Ψ
i
, in the
same way as for the potential problem in Chapter 1. Once the basis functions are known, the
integrals (4.26) and (4.27) may be evaluated element-wise. Finally we arrive at a system of
m+2n −n
p
non-linear equations with m+2n −n
p
unknowns, where n
p
denotes the number
of prescribed boundary values, and m and N are deﬁned in (4.24), (4.25).
Formally the system of equations can be written as
SU +N(U) −L
T
P = F (4.28a)
LU = o (4.28b)
where U denotes the vector of unknowns u
1i
and u
2i
, P denotes the vector of unknowns
p
i
, SU denotes the discretization of the viscous terms, N(U) the discretization of the non-
linear convective terms, LU denotes the discretization of the divergence of u and −L
T
P the
discretization of the gradient of p. The right-hand side F contains all contributions of the
source term, the boundary integral as well as the contribution of the prescribed boundary
conditions.
The solution of the system of equations (4.28a-4.28b) introduces two diﬃculties. Firstly the
equations are non-linear and as a consequence some iterative solution procedure is necessary.
Secondly equation (4.28b) does not contain the unknown pressure P. The last aspect intro-
duces a number of extra complications which will be treated in Paragraph 4.7. The non-linear
iterative procedure will be the subject of Paragraph 4.6.
4.6 Treatment of the non-linear terms
In order to solve the system of non-linear equations, an iterative procedure is necessary. In
general such a procedure consists of the following steps:
make an initial estimation
46
while (not converged) do
linearize the non-linear equations based on the previous solution
solve the resulting system of linear equations
Examples of such methods are Newton methods, quasi-Newton methods, and Picard type
methods.
In order to derive the iterative method one may proceed in two ways. Firstly one can apply
the method to equations (4.28a-4.28b), which is the classical approach. An alternative is to
linearize the non-linear diﬀerential equations ﬁrst and then to discretize the resulting linear
equation. Sometimes both approaches are identical. The last approach is conceptually easier
than the ﬁrst one and will therefore be applied in this paragraph. Since it is the only non-
linear term in equation (4.16a-4.16g) we only consider the convective terms.
Suppose we have computed the solution u
k
at a preceding iteration level k. We write this so-
lution as u
k
. First we shall derive the Newton linearization. To that end we deﬁne f(u, ∇u)
as
f(u, ∇ u) = u · ∇ u . (4.29)
Taylor-series expansion of (4.29) gives
f
k+1
(u, ∇ u) = f
k

u
k
, ∇ u
k

+

u
k+1
−u
k

·
∂f
k
∂u
+∇

u
k+1
−u
k

·
∂f
k
∂∇u
+O

u
k+1
−u
k

2
.
(4.30)
Neglecting the quadratic terms and substitution of (4.29) gives
u
k+1
· ∇ u
k+1
≈ u
k
· ∇ u
k
+

u
k+1
−u
k

· ∇ u
k
+∇

u
k+1
−u
k

· u
k
= u
k+1
· ∇ u
k
+u
k
· ∇ u
k+1
−u
k
· ∇ u
k
.
(4.31)
(4.31) forms the standard Newton linearization. Alternative linearization are constructed by
the so-called Picard iteration methods in which one or both terms in (4.29) are taken at the
old level.
Hence:
(u · ∇ u)
k+1
≃ u
k+1
· ∇ u
k
, (4.32)
(u · ∇ u)
k+1
≃ u
k
· ∇ u
k+1
, (4.33)
(u · ∇ u)
k+1
≃ u
k
· ∇ u
k
. (4.34)
Numerical experiments have shown that from these last three possibilities only (4.33) produces
a good convergence. (4.31) shows that Newton is in fact a linear combination of (4.32)-(4.34).
After linearization of the convective terms the standard Galerkin method may be applied,
resulting in a system of linear equations.
An important question with respect to these iterative methods is, how to ﬁnd a good initial
estimate. It is well known that Newton’s method converges fast (i.e. quadratically) as soon
as the iteration is in the neighborhood of the ﬁnal solution. However, if the distance between
iteration and solution is too large, Newton may converge slowly or even diverge. The Picard
iteration seems to have a larger convergence region, which means that this iteration does not
47
need the same accurate initial estimate, however, this method converges only linearly.
A possible strategy to converge to the ﬁnal solution is the following:
- perform one step Picard iteration in order to approach the ﬁnal solution, sometimes
more than one step,
- use Newton iteration in the next steps.
An initial guess may be for example the solution of the Stokes problem, which is formed by
the Navier-Stokes equations where the convective terms have been neglected. If the Reynolds
number is too high it is possible that the distance between the solution of Stokes and Navier-
Stokes is too large. In that case the solution of Navier-Stokes with a smaller Reynolds number
might be a good choice. A process in which the Reynolds number is increased gradually is
called a continuation method.
In general one may expect that the iteration process no longer converges as soon as the ﬂow
becomes instationary or turbulent.
4.7 Necessary conditions for the elements
In Paragraph 4.5 it has been derived that the standard Galerkin method results in a system of
non-linear equations of the form (4.28a-4.28b). After linearization this system can be written
as
SU +N(U
k
)U −L
T
P = F ,
LU = o ,
(4.35)
where U
k
is the solution of the previous iteration.
In Section 4.5 it has already been pointed out that with respect to the velocity it is neces-
sary that the approximation over the element-sides must be continuous, whereas the pressure
approximation may be discontinuous over the element boundaries. However, there is an-
other problem. The continuity equation, discretized as LU = o, does contain only velocity
unknowns. However, the number of rows in this equation is completely determined by the
number of pressure unknowns. Suppose that there are more pressure unknowns than velocity
unknowns. In that case equation (4.35) contains more rows than unknowns and we have
either a dependent or inconsistent system of equations. In both cases the matrix to be solved
is singular. So we have to demand that the number of pressure unknowns never exceeds the
number of velocity unknowns. Since we want to solve the Navier-Stokes equations by ﬁnite
element methods for various grid size, this demand should be valid independently of the num-
ber of elements. This demand restricts the number of applicable elements considerably. In
order to satisfy this criterion, a general accepted rule is that the order of approximation of the
pressure must be one lower than the order of approximation of the velocity. So if the velocity
is approximated by a linear polynomial, then the pressure is approximated by a constant per
element and so on.
Unfortunately this rule is not suﬃcient to guarantee that the number of pressure unknowns
is not larger than the number of velocity unknowns independently of the number of elements.
Consider for example the mesh in Figure 4.4a, based upon linear elements for the velocity
48
and constant elements for the pressure. For convenience the constant has been coupled to the
centroid of the element. In this example the mesh contains 8 pressure nodes and 9 velocity
b)
p=8, K=9, L=8 p=8, K=16, L=8
element
Ω Region with
P: pressure nodal points
K: velocity nodal points
on the outer boundary
L: velocity nodal points
a)
Figure 4.4: Triangular elements with three nodal points for the velocity (x) and one nodal
point for the pressure (0): a) vertices are the velocity nodal points: conforming element, b)
mid-points of the sides are the velocity nodal points: non-conforming element.
nodes. Suppose we have Dirichlet boundary conditions for the velocity, which means that all
boundary velocities are prescribed. The pressure is unique except for an additive constant.
To ﬁx this constant one of the pressure unknowns is given. So ﬁnally we have 2 velocity
unknowns and 7 pressure unknowns. Hence we have an example of a singular matrix. The
corresponding element is not admissible. One might remark that if we add suﬃcient elements
to the mesh eventually the number of velocity unknowns will be larger than the number of
pressure unknowns. However, practical computations have shown that in that case still the
matrix remains singular.
Figure 4.4b gives an example of an admissible element. The velocity unknowns are not posi-
tioned in the vertices of the triangle but in the midside points. The velocity approximation
is linear but not continuous over the element boundaries. Such an element is called non-
conforming and introduces for that reason extra problems with the approximation. However,
with respect to the continuity equation the element satisﬁes the demand that there must be
more velocity unknowns than pressure unknowns. A simple count shows that for the given
mesh, the number of velocity unknowns is equal to 16 and the number of pressure unknowns
49
equal to 7 in the case of Dirichlet boundary conditions.
The derivation of the admissibility condition given above is rather ad-hoc and does not ex-
plain why an element is admissible. It just helps to identify non-admissible elements. In the
literature, see for example Cuvelier et al (1986), an exact admissibility condition is derived.
This condition is known under the name Brezzi-Babuˆska condition (or BB condition). How-
ever, the BB condition is rather abstract and in practice it is very diﬃcult to verify whether
the BB condition is satisﬁed or not. Fortin (1981) has given a simple method to check the
BB condition on a number of elements.
The method is based on the following statement:
an element satisﬁes the BB condition, whenever, given a continuous diﬀerentiable vector
ﬁeld u, one can explicitly build a discrete vector ﬁeld ˜ u such that:

Ψ
i
div ˜ u dΩ =

Ψ
i
div u dΩ for all basis functions Ψ
i
. (4.36)
In Cuvelier et al (1986) it is demonstrated how (4.36) can be checked for a number of elements.
Fortin (1981) formulates the following engineering statement with respect to the admissibility
of elements.
Midside velocity points in two dimensions and centroid velocity points on surfaces in
three dimensions make it possible to control the amount of ﬂow through a side (2D)
and through a surface (3D) of an element, without altering the amount of ﬂow through
other sides or surfaces. Hence such nodal points make it easier to satisfy the continuity
equations.
In fact it is suﬃcient that the normal component of the velocity in these centroid points is
available as unknowns.
In the literature frequently elements are used, that do not satisfy the BB condition. Such
elements cannot be used with the standard Galerkin method, however the penalty function
method (see Chapter 5), permits the use of these elements.
In this section we shall treat some of the admissible elements for two-dimensional applica-
tions. For a more thorough review as well as three-dimensional elements we refer to Cuvelier
et al (1986) and Fortin (1981).
With respect to the types of elements that are applied we make a subdivision into two groups:
elements with continuous pressure (The Taylor-Hood family) and elements with discontinuous
pressure (The Crouzeix-Raviart family). We shall restrict ourselves to quadratic elements,
since these elements are the most frequently used.
The Taylor-Hood family
Taylor-Hood elements (Taylor and Hood 1973) are characterized by the fact that the pressure
is continuous in the region Ω. A typical example is the quadratic triangle of Figure 4.5. In
this element the velocity is approximated by a quadratic polynomial and the pressure by a
50
2
Velocity:
x x x
x x
x
3
5 4
1 6 2
Pressure: linear (3 nodal points: 0)
Accuracy velocity:
Accuracy pressure:
O(h )
3
O(h )
Figure 4.5: Taylor-Hood element (P
2
−P
1
).
linear polynomial. One can easily verify that both approximations are continuous over the
element boundaries. It can be shown, Segal (1979), that this element is admissible if at least
3 elements are used. The quadrilateral counterpart of this triangle is given in Figure 4.6.
2
(9 nodal points: x)
Velocity:
(4 nodal points: 0)
Pressure:
Accuracy velocity:
Accuracy pressure: O(h
O(h
3
)
)
bi-linear
Figure 4.6: Taylor-Hood element (Q
2
−Q
1
)
The Taylor-Hood family is very suitable for the standard Galerkin methods treated in this
chapter. However, with respect the special methods of Chapter 5 and 6, the discontinuous
pressure elements are most favorable. For that reason we consider some of these elements.
The Crouzeix-Raviart family
These elements are characterized by a discontinuous pressure; discontinuous on element
boundaries. For output purposes (printing, plotting etc.) these discontinuous pressures are
averaged in vertices for all the adjoining elements, see Figure 4.7. We shall discuss some of
the Crouzeix-Raviart elements. The most simple Crouzeix-Raviart element has already been
mentioned in Section 4.7. It is the non-conforming linear triangle with constant pressure.
Figure 4.8 shows this element again. Although this element has no practical signiﬁcance, we
shall use it to demonstrate how Fortin’s translation (4.36) of the BB condition can be checked.
To that end we explicitly create a vector ˜ u such that (4.36) is satisﬁed, i.e.

e
k
div u dΩ =

e
k
div ˜ u dΩ =

δΩ
e
k
˜ u . n dΓ (4.37)
given the continuous vector ﬁeld u. In (4.37) we have used the fact that the pressure is
constant per element, but discontinuously over the element boundary. As a consequence the
51
k
p
p
p
p
p
x
k
k
k
k
k
Figure 4.7: Averaging in each nodal point x
k
over all elements containing x
k
in order to get
a continuous pressure for Crouzeix-Raviart elements.
Γ Γ
Γ
O(h )
3
1 2
Velocity:
Pressure:
Accuracy pressure:
Accuracy velocity:
Constant (1 nodal points: 0)
linear (3 nodal points: x)
2
O(h)
Figure 4.8: Crouzeix-Raviart element (p
1
−p
0
)
basis functions Ψ
i
(x) are deﬁned by
Ψ
i
(x) =

1 in element e
i
,
0 in all other elements .
(4.38)
If we deﬁne ˜ u in the midside point of element e
i
by

Γ
k
u dΓ =

Γ
k
˜ u dΓ = |Γ
k
| u
k
, (4.39)
with Γ
k
the k-th side of e
i
, |Γ
k
| the length of Γ
k
and u
k
the velocity in the midside point of
side Γ
k
, we see immediately that (4.37) is satisﬁed. (4.39) implicitly deﬁnes ˜ u. The deﬁnition
is unique and does not introduce inconsistencies along adjacent elements since (4.39) is deﬁned
along one side of the elements only. The natural extension of the linear-constant element is
the quadratic velocity, linear pressure element. The discontinuous linear pressure is deﬁned
by three parameters, for example the pressure and the gradient of the pressure in the centroid.
Application of the counting mechanism demonstrated in Section 4.7 shows that this element
cannot be admissible. In order to make it admissible it is necessary to introduce the velocity
vector in the centroid as extra unknowns. In this way we get the so-called extended quadratic
triangle of Figure 4.9.
The basis function for this element can be expressed in terms of the linear basis functions
52
Velocity:
2
x x x
x x x
x
3
5 4 7
1 6 2
Pressure:
(7 nodal points: x)
linear (1 nodal point: 0
including 2 derivatives)
Accuracy velocity: O(h )
3
Accuracy pressure: O(h )
Figure 4.9: Crouzeix-Raviart element (P
+
2
−P
1
)
Ψ
i
(x) for triangles, deﬁned in Chapter 2:
˜ u
i
=
7
¸
j=1
u
ij
φ
j
,
with φ
j
= λ
j
(2λ
j
−1) + 3λ
1
λ
2
λ
3
, j = 1, 2, 3,
φ
4
= 4λ
2
λ
3
−12λ
1
λ
2
λ
3
, ϕ
5
= 4λ
1
λ
3
−12λ
1
λ
2
λ
3
, φ
6
= 4λ
1
λ
2
−12λ
1
λ
3
λ
3
,
φ
7
= 27λ
1
λ
2
λ
3
, (4.40)
and ˜ p = p
7
Ψ
1
+
∂p
∂x
1

x
7

Ψ
2
+
∂p
∂x
2

x
7

Ψ
3
,
with Ψ
1
= 1, (4.41)
Ψ
2
= x
1
−x
7
1
,
Ψ
3
= x
2
−x
7
2
.
The natural quadrilateral extension of this triangle is given in Figure 4.10.
3
(9 nodal points: x)
Velocity:
Pressure:
linear
(1 nodal point: 0,
including 2 derivatives)
Accuracy velocity:
Accuracy pressure: O(h )
O(h )
2
2
−P
1
)
4.9 Solution of the system of linear equations due to the discretization of
Navier-Stokes
In Sections 4.5 and 4.6 the discretization of Navier-Stokes equations has been derived. It has
been shown that in each step of the non-linear iteration process it is necessary to solve a
system of linear equations of the shape
Su −L
t
p = F , (4.42a)
53
Lu = 0. (4.42b)
Here Su denotes the discretization of both the viscous terms and the linearized convective
terms. If the unknowns are numbered in the sequence: ﬁrst all velocity unknowns and then
all pressure unknowns it is clear that the system of equations gets the shape as sketched in
Figure 4.11 provided an optimal nodal point numbering is applied. Unfortunately this num-
bering (velocity ﬁrst, pressure last) is far from optimal. The total proﬁle is still very large.
velocity
pressure
Figure 4.11: Proﬁle of the large matrix.
A much smaller proﬁle may be achieved if pressure and velocity unknowns are intermixed.
Figure 4.12 shows a typical example of such a numbering.
. . .
6 8 10 7 9
1 2 3 4 5
a
b . . .
p
1
, p
3
, . . .
Degrees of freedom:
c Degrees of freedom: u , u ,
12 11
p
1
, u
u , u ,
12 11
u , . . . ; u
21
, u
22
, u
23
,
12
,
13
u
22
, u
13
, u
23
, p
3
,
Figure 4.12: Renumbering of unknowns: a the region Ω, b sequence of unknowns component-
wise, c sequence of unknowns nodal point wise.
The resulting system of equations has a much smaller proﬁle than the one for the original
system of equations. Due to renumbering, however, it is possible that the ﬁrst diagonal el-
ements of the matrix are equal to zero. This is for example the case in Figure 4.12 where,
54
because of the boundary conditions, the ﬁrst degrees of freedom are pressures, which do not
appear in the continuity equation. In order to prevent zeros on the main diagonal, partial
pivoting must be applied. Unfortunately, partial pivoting reorders the sequence of the equa-
tions and increases the proﬁle or band width. Therefore a large amount of extra computing
time and computer memory is required. However, it still remains cheaper than application of
the numbering of Figure 4.12b. It is possible to deﬁne a numbering which produces a nearly
optimal proﬁle and prevents the appearance of zeros at the start of the main diagonal. Such
a numbering, however, goes beyond the scope of this lecture.
Another problem arising from the zeros at the main diagonal is that it is not simple to use
iterative methods for the solution of the systems of linear equations.
In Chapters 5 and 6 we shall derive some alternative solution techniques in which the com-
putation of pressure and velocity are segregated and as a consequence partial pivoting is not
longer necessary.
55
5 The penalty function method
5.1 Introduction
In Chapter 4 the discretization of the Navier-Stokes equations has been derived. It has
been shown that the direct solution of the resulting system of linear equations introduces
extra complications due to the absence of the pressure in the incompressibility constraint.
In this chapter we shall discuss a method which tries to solve this problem by segregating
computation of velocity and pressure. For the sake of simplicity we shall restrict ourselves to
the stationary Stokes equations, the extension to the instationary and to the non-linear case
is straightforward.
Consider the stationary linear Stokes equation in dimensionless form:

1
Re
∆u +∇p = f , (5.1a)
div u = 0 . (5.1b)
(5.1a) follows from (4.9a) by neglecting the time-derivative and the convective terms, sub-
stitution of (4.9b) and the incompressibility condition in (4.9a-4.9b). For the sake of the
argument we restrict ourselves to homogeneous Dirichlet boundary conditions:
u = 0 x ∈ ∂Ω (5.2)
The pressure p is unique up to an additive constant. The idea of the penalty method is to
perturb the continuity equation (5.1b) by a small term containing the pressure. An obvious
choice is
εp +div u = o , (5.3)
however, in the literature several other possibilities have been proposed.
The pressure p can be eliminated from (5.3) and substituted into (5.1a) resulting in an equa-
tion for the velocity:
p = −
1
ε
div u , (5.4)

1
Re
∆u −
1
ε
∇(div u) = f . (5.5)
So one can ﬁrst solve the velocity from (5.5) and afterwards compute the pressure directly
from (5.4). Such an approach will be called segregated approach.
The perturbation (5.3) makes only sense if the solution of (5.4), (5.5) approaches the solution
of (5.1a-5.1b) for ε approaching zero. It is a simple mathematical exercise to show that this
is indeed the case. See for example Cuvelier et al (1986) for the details.
The discretization of the penalty function method may be applied in two ways. One may
ﬁrst discretize the Stokes equations and then apply the penalty function method, or one may
discretize the formulation (5.4), (5.5). Both approaches will be treated separately in the
Sections 5.2 and 5.3.
56
Remark: the origin of the penalty method is motivated by the theory of optimization with
constraints. One can show (see Chapter 6) that (5.1a-5.1b) is equivalent to the con-
strained minimization problem:

1
2
1
Re
|∇u|
2
−u · f dΩ , (5.6)
for all functions u satisfying divu = 0.
5.2 The discrete penalty functions approach
In the discrete penalty function method, the (Navier-)stokes equations are discretized before
applying the penalty function method. So we start with the formulation (4.42a-4.42b):
Su −L
T
p = F , (5.7a)
Lu = 0 . (5.7b)
The continuity equation is perturbed by a term εM
p
p, where M
p
is the so-called pressure
mass matrix, deﬁned by
M
p
(i, j) =

ψ
i
ψ
j
dΩ , (5.8)
Hence
εM
p
p +Lu = 0 , (5.9)
or
p = −
1
ε
M
−1
p
Lu . (5.10)
Substitution of (5.10) in (5.7a) gives
(S +
1
ε
L
T
M
−1
p
L)u = F . (5.11)
So u is computed from (5.11) and afterwards p is computed from (5.10). In exactly the
same way as for the continuous equation, it can be shown that the solution of (5.10), (5.11)
approaches the solution of (5.7a-5.7b).
If we want to solve (5.10), (5.11), it is necessary that the matrix M
−1
p
can be computed
easily. This is for example the case if M
p
is a lumped mass matrix. In the discontinuous
pressure elements, M
p
is in a block diagonal matrix, i.e. a diagonal matrix consisting of
small matrices as diagonal elements. One can easily verify that these small matrices have
the size of the number of pressure unknowns per element, since M
p
(i, j) = 0 if ψ
i
and ψ
j
correspond to diﬀerent elements. So for the Taylor-Hood family the matrix M
p
is lumped,
in the Crouzeix-Raviart family inversion of M
p
is quite simple.
Another practical aspect is that the building of the matrix L
T
M
−1
p
L must be easy. Moreover,
it would be very nice if this matrix could be build per element by element matrices. In that
case the structures of S and L
T
M
−1
p
L are identical and the solution of (5.11) is as simple as
the solution of Su = F. One can immediately verify that for the Taylor-Hood elements this
is not the case. Consider for example the simple triangular mesh in Figure 5.1. For simplicity
57
1 2
9
3
4
5
6
7 8
Figure 5.1: Triangular mesh with quadratic Taylor-Hood triangles.
only the vertices of the triangles have been numbered. The midside points are present but
are not shown. From Chapter 2 it is clear that in the momentum equation for unknowns in
point 5 only the vertex unknowns in the points 1, 2, 4, 5, 6, 8 and 9 are present not those
of the points 3 and 7. If we furthermore simplify the matrix M
p
to a unity matrix, we can
compute the elements of L
T
M
−1
p
L relatively simple by:
L
T
L(i, j) =
¸
k
L
T
(i, k)L(k, j) =
¸
k
L(k, i)L(k, j) . (5.12)
Let us for the sake of the argument identify the matrix elements with the vertex numbers. In
fact each matrix element is in that case a 2 ×2 matrix itself.
From chapter 2 it is clear that S (5, 7) is equal to zero, since node 5 and node 7 do not belong
to the same element. However, L
T
L(5, 7) =
¸
k
L(k, 5)L(k, 7) is in general unequal to zero,
since for example L(4, 5) and L(4, 7) are unequal to zero. So L
T
L has a larger bandwidth or
proﬁle than S.
In the case of a Crouzeix-Raviart element L(i, j) is only non-zero as long as point i and pointj
belong to the same element, because of the discontinuity of the pressure approximation. As
a consequence the matrix L
T
M
−1
p
L may be split into a sum over element matrices and
L
T
M
−1
p
L may be evaluated at element level. This makes the implementation of the penalty
function method relatively easy.
Before we consider some practical remarks concerning the penalty method in Section 5.4, we
shall ﬁrst analyze the so-called continuous penalty function method.
5.3 The continuous penalty function method
The penalty function method as introduced in Section 5.2 will be called discrete penalty
function method, since ﬁrst the equations are discretized and then the pressure is eliminated.
Conceptually it is much easier to start with the penalty function formulation (5.4), (5.5), and
then to discretize the equations.
For the sake of the argument we shall restrict ourselves to Dirichlet boundary conditions for
the velocity. Application of the standard Galerkin method to equation (5.5) gives component-
58
wise:

{
1
Re
∇(u
h
)
k
· ∇ϕ
i
+
1
ε
div u
h
∂ϕ
i
∂x
k
}dΩ =

f
k
ϕ
i
dΩ , (5.13)
i = 1, 2, ..., n; k = 1, 2, 3,
where (u
h
)
k
denotes the k-th component of u
h
and f
k
the k-th component of f.
In matrix vector notation (5.13) can be written as
Su +
1
ε
Au = F . (5.14)
A clear advantage of the formulation (5.14) is that it is no longer necessary to compute the ma-
trix L
T
M
−1
p
L and as a consequence Taylor-Hood elements are as simple as Crouzeix-Raviart
elements. However, a closer examination of (5.13) shows that (5.14) has a disadvantage which
is not present in (5.11).
If in (5.11) we let ε approach zero, it is immediately clear that
L
T
M
−1
p
Lu →0 , (5.15)
and it is easy to show that also
Lu →0 . (5.16)
From (5.14) it follows that ε →0 implies
Au →0 , (5.17)
or

div u
n
div ϕ
i
dΩ = 0 , (5.18)
for all basis functions ϕ
i
.
(5.18) is equivalent to (4.26), where div ϕ
i
plays the role of the basis function ψ
i
.
Now consider the quadratic Taylor-Hood element. In equation (5.18) div ϕ
i
is a linear discon-
tinuous polynomial. So relation (5.18) is comparable to the discretization of the continuity
equation for a quadratic Crouzeix-Raviart element with linear pressure. From Section 4.8,
however, we know that such an element is not admissible.
Although the penalty function formulation does not give rise to singular systems of equations,
still one can expect some troubles with elements which in the limit approach non-admissible
elements. Indeed, computations with this approach, show that the velocity behaves rather
good, but that the pressure produce unrealistic wiggles (Sani et al 1981). These wiggles are
generally known as spurious modes or checkerboard modes for the pressure.
In the literature non-admissible elements are frequently used. To suppress the wiggles one
either uses some ﬁltering (smoothing) of the computed pressure, or the penalty matrix is
computed with a so-called reduced integration technique (Malhus et al 1978). The ﬁltering
technique may produce nice results, however, this technique is not so easy at non-rectangular
grids. With the reduced integration technique, actually the term

div u
h
div ϕ
i
dΩ is approx-
imated by an inaccurate quadrature rule. This is comparable to approximating div ϕ
i
by
59
a lower degree polynomial. As a consequence the actual pressure approximation is reduced,
From the discussion given above it is clear that the discrete penalty function approach is su-
perior above the continuous penalty method. In the remainder of this lecture we shall restrict
ourselves to this discrete form.
5.4 Practical aspects of the penalty function method
In the previous sections the continuous and discrete penalty function method have been
derived. It has been shown that the discrete penalty function method, applied to admissible
elements is the most recommendable. What remains is the choice of the parameter ε. It is
clear that ε must be so small that the computed velocity and pressure approximates the actual
solution accurately. However, there is one draw back with respect to the penalty function
formulation. In fact we add the matrix
1
ε
L
T
M
−1
p
L to the matrix S in (5.11). The matrix S
corresponds to the discretization of a vector Laplacian equation (in the case of Stokes ﬂow)
or a convection-diﬀusion type vector equation (Navier-Stokes ﬂow). It is well known that this
matrix is good conditioned and has nice properties for many kinds of solvers.
The matrix L is a m × 2n matrix, where in general m ≪ n. The maximal rank of L is
m or m− 1, depending on the type of boundary conditions. As a consequence the rank of
the 2n × 2n matrix L
T
L can also not exceed m or m− 1. The same is true for the matrix
L
T
M
−1
p
L. As a consequence the penalty matrix is a singular matrix with a large number
of dependent rows. This penalty matrix is multiplied by a large number 1/ε and added to a
non-singular matrix. It is very natural to assume that the resulting matrix has a condition
number which is proportional to 1/ε. Indeed practical computations show such a behavior.
As a consequence ε may not be chosen too small since otherwise the condition of the resulting
matrix is so bad that an accurate numerical solution is not longer possible. As a rule of the
thumb one may choose ε such that
εp ≈ ku , (5.19)
where k is some value between O(10
−3
) and O(10
−9
). This statement is based on a 64 bits
accuracy for the computations, i.e. double precision arithmetic on a 32 - bits computer.
Especially for very viscous ﬂow, which for example appear in non-newtonian ﬂuids, a good
choice for ε may be hard to ﬁnd.
The fact that we have to choose ε carefully is a clear disadvantage. The relative large condi-
tion number has also another disadvantage. It is nearly impossible to solve the matrix with
standard iterative techniques. Only if we enlarge the value of ε and use some outer iterative
procedure, it is possible to use penalty function type methods in combination with iterative
linear solvers. A well known outer iterative procedure is the so-called Uzawa scheme (Cuvelier
et al 1986), which is however, beyond the scope of this lecture.
Despite the clear disadvantages of the penalty function method, still this method is very
popular. The reason is that it is a rather simple and fast method, provided the number of
unknowns are not too large. The segregation of pressure and velocity gives a large reduction
in computing time compared to the direct solution of the original equations. Only for large
three-dimensional problems, direct linear solvers become so expensive that it is practically
60
nearly impossible to apply this method.
In the next chapter we shall derive an alternative segregated method to solve the incompress-
ible Navier-Stokes equations, the so-called solenoidal approach.
61
6 Divergence-free elements
6.1 Introduction
In Chapter 4 we have treated the standard Galerkin approach. It has been shown that this
method may be applied, provided an admissible element is used. A clear disadvantage of the
Galerkin method is the unavailability of the pressure in the continuity equation, and as a
consequence the presence of zeros on the main diagonal of the equations (4.42a-4.42b). As a
consequence the solution of the equations introduces extra diﬃculties. In the penalty function
method we have solved this problem by segregating pressure and velocity, thus reducing the
number of unknowns as well as avoiding the zeros at the main diagonal. The only problem
with this method is that it is sometimes diﬃcult to get a good of choice of the small parameter
ε and the bad condition of the remaining system of equations. Especially for very viscous
(non-newtonian ﬂuids) this may be a problem. In this chapter we shall derive an alternative
segregated approach in which it is not necessary to choose some parameter, and which does
not lead to ill conditioned systems of equations.
To that end we consider the weak formulation (4.21-4.22). If for the sake of simplicity we ne-
glect both the convective terms and all boundary integrals, substitute the continuity equation
in the stress tensor and use the dimensionless form, (4.21-4.22) can be written as:

q div udΩ = 0 , (6.1a)

1
Re
∇u · ∇vdΩ −

p div vdΩ =

f · vdΩ . (6.1b)
Except with respect to the essential boundary conditions, u and v are chosen in the same
space. So if we restrict this space to all divergence-free vector ﬁelds, then it is immediately
clear that (6.1a) is satisﬁed automatically and, moreover,

p div vdΩ vanishes. In other words
an equation in the velocity alone remains. Unfortunately it is very hard to ﬁnd functions
which are completely divergence-free. However, formulation (6.1a-6.1b) shows that it is not
necessary to demand div u = 0, but that it is suﬃcient to weaken this statement to

q div vdΩ = 0 for all q . (6.2)
If both our test functions and the solution u satisfy (6.2), (6.1a) is satisﬁed and (6.1b) reduced
to

1
Re
∇u · ∇vdΩ =

f · vdΩ, for all v , (6.3)
which is again an equation for the velocity alone.
If we construct a basis ϕ
i
in the space of approximately divergence-free vector ﬁelds satisfying
(6.2), (6.3) can be written as:
u
h
=
n
¸
j=1
u
j
ϕ
j
(x) , (6.4a)
62
n
¸
j=1
u
j

1
Re
∇ϕ
j
· ∇ϕ
i
dΩ =

f · ϕ
i
dΩ , i = 1(1)n . (6.4b)
The extension to the non-linear Navier-Stokes equations, the general form of stress tensor
and non-vanishing boundary integrals is trivial.
The system of equations (6.4b) is of double Laplacian type (in IR
2
), and may be solved quite
easily. The only problem is of course, how to construct basis functions that are divergence-free
in the sense of (6.2). In Section 6.2 we shall show the construction of such basis functions for
one speciﬁc element.
6.2 The construction of divergence-free basis functions for 2D elements
In this section we shall construct divergence-free basis functions in the sense of (6.2) for two-
dimensional elements. The extension to IR
3
is quite complicated and introduces a number
of extra problems. We refer to Cuvelier et al (1986) for a derivation. The construction of
divergence-free basis functions is relatively simple for elements of the Crouzeix-Raviart type,
how to construct such functions for Taylor-Hood elements is not known at this moment. For
simplicity we shall restrict ourselves to triangular elements; the extension to quadrilaterals
is straightforward. In fact we shall derive these basis functions for the extended quadratic
triangle of Figure 4.9, with the basis functions given in (4.40). But in order to get some insight
in the problems associated with this derivation we shall ﬁrst consider the non-conforming
linear triangle with constant pressure given in Figure 4.8.
In general (6.2) can be written as

Ψ
i
div u
h
dΩ = 0 for all pressure basis functions Ψ
i
. (6.5)
In other words we have to construct basis functions ϕ
i
such that

Ψ
j
div ϕ
i
dΩ = 0 , for all Ψ
j
. (6.6)
One may expect that the basis functions ϕ
i
(x) satisfying (6.6), have vector components,
which are both nonzero, so these will be linear combinations of the classical basis functions
deﬁned by (4.23).
In order to ﬁnd these linear combinations we recall that for the non-conforming element, (6.6)
reduces to

e
j
div ϕ
i
dΩ = 0 , (6.7)
for all elements e
j
, since Ψ
j
is one in element e
j
and zero outside the element.
Application of the Gauss-divergence theorem to (6.7) gives

Γ
e
j
ϕ
i
· ndΓ = 0 , (6.8)
where Γ
e
j
is the boundary of the triangle e
j
. In each triangle we have 6 unknown velocities
corresponding to the three midside points. In all previous examples (compare with 4.25) these
63
velocity components were in fact the Cartesian components. However, for our purposes it is
better to decompose the velocity in a tangential and a normal component along the boundary
of the triangle. See Figure 6.1 for a deﬁnition. In this element the velocity u is approximated
by
t
x x x
x x
x
x
x
x
3
4 5
1 6 2
3
5
1
Γ
Γ Γ
Γ
2
3
1 2
n
Figure 6.1: Element e, with boundary Γ
2
separately plotted. Normal and tangential unity
vectors on Γ
2
are indicated.
u
h
=
¸
k=2,4,6
u
1k
ϕ
k1
(x) +u
2k
ϕ
k2
(x) , (6.9)
which can be written as
u
h
=
¸
k=2,4,6
u
nk
ϕ
kn
(x) +u
tk
ϕ
kt
(x) , (6.10)
where u
nk
respectively u
tk
denote the normal and tangential component of u in node k.
ϕ
kn
(x) and ϕ
kt
(x) are deﬁned by
ϕ
kn
(x) = ϕ
k
(x)n
k
, (6.11a)
ϕ
kt
(x) = ϕ
k
(x)t
k
. (6.11b)
Here ϕ
k
(x) denotes the scalar basis function corresponding to point k and n
k
and t
k
the
normal respectively tangential vector corresponding to the edge on which node k is positioned.
The basis functions ϕ
kt
(x) satisfy (6.8) exactly, since ϕ
k
(x) = 1 on the edge containing node k
and linear from -1 to 1 at the other sides. On the edge containing node k we have n
k
·t
k
= 0, on
the other edges n is constant and the integral over ϕ
k
(x) vanishes because of the linearity. So
one set of divergence-free basis functions is formed by the set of basis functions corresponding
to the tangential components.
The other set of basis functions must be constructed such that (6.8) is satisﬁed. Now

Γ
k
u
h
· ndΓ (6.12)
deﬁnes the amount of ﬂow through side Γ
k
. For an incompressible ﬂow one can deﬁne a
stream function Ψ by
u = (
∂Ψ
∂y
, −
∂Ψ
∂x
) . (6.13)
64
An important property of the stream function is that the diﬀerence between the values of
the stream function in two points deﬁnes the amount of ﬂow between these two points. See
Figure 6.2 for an explanation. So it is quite natural to deﬁne a discrete stream function in
2
1
2
u
Γ
Ψ
Ψ
1
Figure 6.2: Amount of ﬂow between points 1 and 2 is given by

Γ
u · ndΓ = Ψ
2
−Ψ
1
the vertices by
Ψ
k+1
−Ψ
k
=

Γ
k+2
u
h
· ndΓ , k = 1, 2, 3 , (6.14)
where a cyclic permutation with the numbers 1, 2 and 3 is used. It is clear that deﬁnition
(6.14) does not introduce any contradictions. Moreover, this stream function Ψ is constructed
such that (6.8) is satisﬁed exactly.
Deﬁnition (6.14) is unique for the complete mesh, since in (6.14) only values on one element
side are used, so the deﬁnition in contiguous elements is the same. Furthermore, given
a divergence-free vector ﬁeld in the sense of (6.2) or (6.5), the stream function Ψ can be
computed in each vertex, provided it is ﬁxed in an arbitrary vertex.
From (6.14) we can express the normal component on the mid side points into the values of
the stream function on the vertices. Using the fact that the basis function ϕ
k
(x) is equal to
1 along the edge corresponding to node k, it follows immediately that
u
n2
=
Ψ
2
−Ψ
1
L
1
, u
n4
=
Ψ
3
−Ψ
2
L
2
, u
n6
=
Ψ
1
−Ψ
3
L
3
, (6.15)
where L
k
denotes the length of side Γ
k
.
Substitution of (6.15) into (6.10) gives
u
h
=
¸
k=2,4,6
u
tk
ϕ
kt
(x) + (
1
L
2
ϕ
6n

1
L
3
ϕ
2n

1
+(
1
L
3
ϕ
2n

1
L
1
ϕ
4n

2
+ (
1
L
1
ϕ
4n

1
L
2
ϕ
6n

3
. (6.16)
In other words, the second set of basis functions, denoted by ϕ

(k = 1, 2, 3) is given by
ϕ

=
1
L
k+1
ϕ
2(k+2)n

1
L
k+2
ϕ
2k
(cyclic) . (6.17)
One easily veriﬁes that these functions satisfy (6.8).
65
This completes the construction of the 6 basis functions that are divergence-free. Substitution
of these basis functions into the weak formulation (6.4b) gives a system of linear equations in
the unknowns u
tk
and Ψ
k
.
The basis functions ϕ
kt
and ϕ

are characterized by the following properties:
i The components of ϕ
kt
and ϕ

are linear in x and y per element.
ii ϕ
tj
= 0 at the midside nodes not equal to j. ϕ
tj
is equal to the unit tangential vector
in midside node j.
iii ϕ
Ψj
= 0 at the mid-side node opposite to vertex j. ϕ
Ψj
is equal to plus or minus the
unit normal vector divided by the length of the side, in the two mid-side points of the
sides containing the vertex j. The sign is opposite for these two points.
It must be remarked that in order to get a unique deﬁnition of normal and tangential compo-
nents, it is necessary to deﬁne the normal and tangential vector in the same way in adjacent
elements. A possible unique deﬁnition is to choose the tangential vector from smallest node
number to highest node number and deﬁning the corresponding normal vector in the clock-
wise direction. See Figure 6.3.
In conclusion, the procedure to construct divergence-free basis functions consists of the fol-
lowing steps:
- deﬁne basis functions corresponding to normal components and tangential components
at mid side points
- the ﬁrst set of basis functions is formed by the basis functions corresponding to the
tangential components
- Introduce stream function unknowns at the vertices and eliminate the normal com-
ponents of the velocity at mid-side points by expressing them in the stream function
unknowns. The basis functions corresponding to the stream function unknowns from
the second set of basis functions.
The computation of the pressure is postponed to Section 6.5. Now we have seen how the
3
2
1
8
6
t n
e
e
1
Figure 6.3: Deﬁnition of normal and tangential vector at side 1-6 for elements e
1
and e
2
. The
global node numbering is plotted.
66
divergence-free basis functions may be derived for the non-conforming triangle, we shall apply
the same procedure for the more complex extended quadratic triangle with linear pressure.
The ﬁrst step in the construction of the divergence-free basis functions is the elimination of
the velocity in the centroid points of the elements and as a consequence the gradient of the
pressure in these points. This process is also known as static condensation.
Substitution of the pressure basis functions given in (4.40) into (6.5) gives

e
div u
h
dΩ = 0 , (6.18a)

e
(x −x
7
) div u
h
dΩ = 0 , (6.18b)
where the centroid is denoted by x
7
.
From (6.18b) u
h
in the centroid can be expressed in terms of the velocity components in the
remaining points of the element. It can be easily shown that (6.18b) is a regular system of
equations for u
7
(see for example Cuvelier et al 1986). Substitution of the basis functions
ϕ
17
(x) and ϕ
27
(x) per element into (6.1b) gives an expression for the gradient of the pressure
in terms of the velocity unknowns at the boundary. Also in Cuvelier et al (1986) it is shown
that this expression is never singular. So in fact both the pressure gradient and the velocity
in the centroid have been eliminated. The practical procedure will be treated in Section 6.3.
Once the velocity components in the centroid have been eliminated, twelve velocity compo-
nents remain, six in the vertices and six in the mid side points.
We write the approximation u
h
in the following form per triangle
u
h
=
3
¸
i=1
{u
1i
Φ
1i
+u
2i
Φ
2i
} +
6
¸
i=4
{u
ni
Φ
ni
+u
ti
Φ
ti
} . (6.19)
The functions Φ
1i
and Φ
2i
are adapted basis functions because of the elimination of the
centroid degrees of freedom. The velocity components in the midside points are split in normal
and tangential components in exactly the same way as for the non-conforming element.
For this element again, the stream function in the vertices is introduced as new unknowns
and the velocity components in the midside points are eliminated using relation (6.14). It
can be shown that the thus constructed basis functions are divergence-free.
In the next section we shall treat how the element matrices and vectors corresponding to the
(approximate) divergence-free basis functions may be computed, without actually creating
these basis functions.
6.3 The construction of element matrices and vectors for (approximate)
divergence-free basis functions
The Galerkin equations for the Stokes equations using divergence-free basis functions are
given in (6.4b). The corresponding element matrices and vectors may be constructed by ex-
plicit substitution of the divergence-free basis functions constructed in Section 6.2.
67
However, an alternative possibility is to start with the original set of equations (4.26), (4.27)
using the classical basis functions and then to perform the elimination process. Let us demon-
strate this process for the extended quadratic triangle. We shall execute the algorithm in two
steps. In the ﬁrst step the centroid velocity components and the gradient of the pressure are
eliminated. In the second step the normal components of the velocity at mid-side points are
eliminated.
To perform step 1 we start with the system of linear equations (4.42a-4.42b):
Su −L
T
p = F , (6.20a)
Lu = 0 . (6.20b)
The velocity u will be split into a part corresponding to the centroid (u
z
) and the rest of the
velocities (ˆ u). In the same way the pressure p will be split into a part p

corresponding to
the gradient of the pressure in the centroid and a part ˆ p corresponding to the values of p in
the centroids. Hence we deﬁne
u =
¸
ˆ u
u
z
¸
, p =
¸
ˆ p
p

¸
. (6.21)
If we split equations (6.20a-6.20b) according to (6.21) we get
S
1
ˆ u +S
2
u
z
−L
T
2
ˆ p

= F , (6.22a)
L
1
u = L
11
ˆ u +L
12
u
z
= 0 , (6.22b)
L
2
u = L
21
ˆ u +L
22
u
z
= 0 . (6.22c)
The elimination of the velocity components in the centroid follows from (6.22c):
u
z
= −L
−1
22
L
21
ˆ u , (6.23)
in other words
u = R
z
ˆ u , (6.24)
with
R
z
=
¸
I
R
0
¸
=
¸
I
−L
−1
22
L
21
¸
. (6.25)
From (6.25) we get
L
2
R
z
= L
21
I +L
22
R
0
= L
21
−L
22
L
−1
22
L
21
= 0 , (6.26)
and hence also
R
T
z
L
2
= 0 . (6.27)
Substitution of (6.24) into (6.22a) gives:
S
1
ˆ u +S
2
R
0
ˆ u −L
T
1
ˆ p −L
T
2
p

= 0 . (6.28)
If we premultiply (6.28) by R
T
z
and use (6.27) we get:
(R
T
z
S
1
+R
T
z
S
2
R
0
)ˆ u −R
T
z
L
T
1
ˆ p = R
T
z
F , (6.29)
68
and (6.22b) can be written as
L
1
u = L
1
R
z
ˆ u = 0 . (6.30)
In other words the result of the elimination process is
ˆ
Sˆ u −
ˆ
L
T
ˆ p =
ˆ
F , (6.31a)
ˆ
Lˆ u = 0 , (6.31b)
with
ˆ
S = R
T
z
S
1
+R
T
z
S
2
R
0
, (6.32a)
ˆ
L = L
1
R
z
, (6.32b)
ˆ
F = R
T
z
F . (6.32c)
Due to the discontinuous character of the pressure, the matrices
ˆ
S and
ˆ
L and the right-hand
side vector
ˆ
F may be computed at element level.
The next step is the elimination of the normal components in the midside points in favor of
the stream function at the vertices. This elimination process can be expressed by a matrix
R
d
according to
ˆ u = R
d
u
d
, (6.33)
where u
d
is the vector of new unknowns.
The transformation is such that the continuity equation is satisﬁed exactly in other words
ˆ
LR
d
= 0 . (6.34)
Substitution of (6.34) in (6.31a-6.31b) and premultiplication by R
T
d
gives
R
T
d
ˆ
SR
d
u
d
= R
T
d
ˆ
F . (6.35)
Again the matrix and vector can be constructed at elements level.
So we have shown that it is not necessary to construct the divergence-free basis functions
explicitly. It is suﬃcient to construct the transformation matrices R
z
and R
d
per element and
to compute the ﬁnal element matrix and element right-hand side by matrix-matrix respectively
matrix-vector multiplications.
We have constructed a new set of equations with new unknowns. The question that remains
is of course: is this new system of equations uniquely solvable? Furthermore, which type of
boundary conditions must be prescribed to the new unknowns. These questions will be the
subject of Section 6.4.
6.4 Boundary conditions with respect to the divergence-free elements
In the construction of the divergence-free elements treated in the preceding sections, it was
necessary to introduce new unknowns. First of all the velocity has been decomposed into
normal and tangential part. With respect to the boundary conditions this does not introduce
extra problems, since in general boundary conditions are formulated in tangential and normal
direction and not in Cartesian directions. Next the stream function has been introduced as
69
new unknown. This introduces two extra problems. The ﬁrst one is that the stream function
is never unique but ﬁxed up to an additive constant. As a consequence, it is necessary to
prescribe the stream function in at least one point. The second one is that, if the normal
velocity is unknown at a part of the boundary, it is not automatically possible to compute
the stream function along that part. This is best demonstrated with the conﬁguration of
Figure 6.4. In this Figure we have one inﬂow with prescribed velocity ﬁeld (boundary i),
three ﬁxed walls with no-slip boundary condition (boundaries ii, iv and vi) and two outﬂow
boundaries where for example the normal stress is prescribed (boundaries iii and v). If the
stream function at the common point of sides i and vi is set equal to zero then Ψ along
sides i, ii and vi may be computed from the deﬁnition (6.14). The stream function value at
sides iii and v does not have to be prescribed, since the normal component at these sides is
not prescribed. However, at side iv we have a no-slip condition, implying u
n
= 0. Hence Ψ
is constant at side iv but the value is unknown. So for such boundaries it is necessary to
prescribe the boundary condition Ψ is unknown constant. For a practical implementation of
such a boundary condition the reader is referred to Cuvelier at al (1986).
v
ii
vi
i
iv
iii
Figure 6.4: Example of a region with two outﬂow parts. On the boundary iv we have the
boundary condition Ψ equals unknown constant
6.5 Computation of the pressure
Once the velocity is known, the pressure must be computed. Let us ﬁrst restrict ourselves
to the non-conforming triangle. We return to the weak formulation (6.1b), and substitute
non-divergence-free basis functions. An obvious choice is to use the basis functions ϕ
nh
corresponding to the normal components of the velocity. Substitution of these basis functions
in (6.1b) gives

1
Re
∇u
h
· ∇ϕ
nk
dΩ −

p
h
div ϕ
nk
=

nk
dΩ , k = 1, 2, ... . (6.36)
Since u
h
is known, this is an equation in the unknowns p alone. Since ϕ
nk
= 0 outside the
two elements containing node k it is suﬃcient to consider two adjacent elements e
1
and e
2
as
indicated in Figure 6.5. (6.36) reduces to

e
1
∪e
2
p
h
div ϕ
n
dΩ =

e
1
∪e
2
{
1
Re
∇u
h
· ∇ϕ
n
−f · ϕ
n
}dΩ , (6.37)
70
where ϕ
n
is the abbreviated notation for ϕ
nk
in the common midside point. Application of
2
1 2
e
e
4 3
n
1
2
p
p
1
Figure 6.5: Two adjacent elements e
1
and e
2
. The pressure nodal points have been indicated.
the Gauss divergence theorem to the left-hand side of (6.37) gives

e
1
∪e
2
p
h
div ϕ
n
dΩ =

∂e
1
p
h
ϕ
h
· ndΓ +

∂e
2
p
h
ϕ
n
· ndΓ = (p
1
−p
2
)L
23
, (6.38)
where L
23
is the length of side 23.
Hence given p
1
, p
2
can be computed immediately. This procedure may be repeated for all
adjacent elements. So starting by prescribing the pressure in one element, the pressure can
be computed in all elements by ﬁnding neighboring elements and applying (6.38).
The computation of the pressure in the case of the extended quadratic Crouzeix-Raviart
triangle is again performed in two steps. In step 1 the pressure in the centroids is computed
using the method described for the non-conforming triangle.
In the second step the gradient of the pressure in the centroid is computed. To that end
equation (6.22a) is applied at element level. This is possible since each row of the divergence
matrix L has only non-zero contributions for one element at a time, due to the discontinuous
pressure deﬁnition.
Hence
−L
T
2
p

= F −S
1
ˆ u −S
2
u
z
+L
T
1
ˆ p , (6.39)
where u
z
= −L
−1
22
L
21
ˆ u.
Per element L
T
2
reduces to a (2×2) matrix, hence (6.39) immediately deﬁnes p

per element.
6.6 Practical aspects of the divergence-free elements
In this chapter we have shown how divergence-free elements may be constructed in 2D. The
derivation has been restricted to discontinuous pressure elements. The extension to three-
dimensional element is quite complicated, and seems rather impractical. The construction
of element matrices and vectors may be performed by the introduction of transformation
matrices. Complicating factor may be the deﬁnition of boundary conditions as shown in
Section 6.4. Once the velocity is computed a post-processing step is necessary to compute
the pressure. A clear advantage of the use of divergence-free elements is that velocity and
pressure are segregated, without the introduction of an extra parameter to be chosen. As a
consequence, this method allows the solution of the resulting systems of equations by iterative
techniques. So for two-dimensional problems the method based on divergence-free elements
seems very promising.
71
7 The instationary Navier-Stokes equations
7.1 Introduction
Until now we have restricted ourselves to stationary Navier-Stokes equations only. However,
in some practical applications one is also interested in the time-dependent behavior of the
solution. Or, alternatively, sometimes it is hard to ﬁnd the solution of a stationary problem,
because the iteration process does not converge well enough. In that case, considering the
stationary solution as limit of a time-dependent solution may help to get a convergent solution.
For that reason we shall consider some methods to solve the time-dependent Navier-Stokes
equations.
In ﬁrst instance we shall use the method of lines as derived in Chapter 3. With respect to the
discretization of the continuity equation all three methods derived in the previous chapters
may be applied. This well be the subject of Section 7.2.
In Section 7.3 an alternative approach will be treated, which is especially developed for
time-dependent incompressible ﬂows. This method, the so-called pressure correction method,
consists of two steps per time-step. In ﬁrst instance the velocity is computed using the pressure
at the old time-level and neglecting the continuity equation. In general, the computed velocity
is not divergence-free. In the next step the velocity is projected onto the space of divergence-
free vectors. This step also introduces a Laplacian type equation for the pressure.
7.2 Solution of the instationary Navier-Stokes equations by the method of
lines
The instationary incompressible Navier-Stokes equations read (compare with 4.3):
ρ
∂u
∂t
+ρu · ∇u −div σ = ρf , (7.1a)
div u = 0 . (7.1b)
In order to get a ﬁnite element discretization, the weak from of (7.1a) - (7.1b) is derived. To
that end equation (7.1a) is multiplied by a time-independent test function v and (7.1b) by a
test function q. If we neglect the boundary integrals and furthermore apply (4.4) in the same
way as for the stationary case, the weak form of (7.1a) may be written as

ρ
∂u
∂t
· vdΩ +

2µe · ∇vdΩ +

ρ(u · ∇u)vdΩ −

pdiv vdΩ =

f · vdΩ , (7.2a)

q div udΩ = 0 . (7.2b)
We see that (7.2b) does not contain a time-derivative, and this will be an extra complicating
factor. If we approximate u and p in the same way as in (4.24), (4.25), however, with
time-dependent coeﬃcients, and if we substitute the time-independent basis functions ϕ
i
(x)
72
respectively Ψ
i
(x), the Galerkin method reduces to the solution of a system of nonlinear
ordinary diﬀerential equations of the form
M ˙ u +N(u) −L
T
p = F , (7.3a)
Lu = 0 , (7.3b)
where N, L, f, u and p are deﬁned as in (4.28a-4.28b) and M denotes the velocity mass
matrix, which can be written as:
M =

M
1
0
0 M
1

, (7.4)
M
1
(i, j) =

ϕ
i
(x)ϕ
j
(x)dΩ .
The absence of a time-derivative in (7.3b) has as consequence that (7.3b) must be satisﬁed
in every stage of the time integration. An important consequence is that if the equations
(7.3a-7.3b) are solved in a coupled way, explicit methods do not make sense. With respect
to the time-integration, all the classical methods, such as for example the ones mentioned
in Chapter 3 may be used. Very popular are the θ methods, especially θ = 1/2 and θ = 1,
and the two-step Adams-Bashfort discretization. In this last formulation one usually uses
an implicit formulation with respect to the viscous terms and an explicit formulation for the
convective terms. The reason for this splitting is that the matrix due to the convective terms
changes in each time-step, whereas the other matrices remain constant in time.
Of course the solution of the coupled equations (7.3a-7.3b), introduces exactly the same
problems as for the stationary case. As a consequence the same type of solution procedures
will be used. Hence it is quite usual to apply a segregated formulation in order to solve
(7.3a-7.3b). Both the penalty function approach, as the method with divergence-free basis
functions may be applied.
The penalty function approach, applied to (7.3a-7.3b) reads (compare with 5.12):
M ˙ u +N(u) +
1
ε
L
T
M
−1
p
Lu = F , (7.5a)
p = −
1
ε
M
−1
p
Lu . (7.5b)
It is clear that the pressure has only to be computed, if at a certain moment the pressure is
required. In the time-stepping algorithm it is suﬃcient to solve (7.5a).
With respect to the non-linear terms, it is necessary to perform a kind of linearization. In
general exactly the same type of linearization as for the stationary case are used. However,
in contrast to the stationary case, no iteration per time-step is applied. In general, the non-
linear terms are linearized with respect to the solution at the preceding time-level. If the
linearization is not accurate enough, a smaller time-step must be used.
The Picard type linearization of Section 4.6, all produce an 0(∆t) error, whereas the Newton
type linearization gives an 0(∆t
2
). Hence if the Crank-Nicolson scheme is applied, it is more
or less necessary to combine this scheme with a Newton linearization.
We have seen in the stationary case that the matrix corresponding to the penalty function
73
method has a large condition number. As a consequence it was not possible to use iterative
methods for the solution of the linear systems of equations. With respect to the instationary
case there is another drawback. One can show that the solution of (7.5a) by an explicit time
integrator, requires time-steps which are proportional to ε, due to stability requirements.
Hence, in practice, only implicit methods are used to solve (7.5a). See Cuvelier et al (1986)
for the details. The Crank Nicolson scheme has the property that it does not damp high
frequencies. Due to the penalty term such frequencies may always be present in the equations.
As a consequence extra damping is necessary if the solution is non-smooth in time. For
example in the case of a transient one usually starts with one time-step Euler-implicit in
order to damp high frequencies, and than one resumes with Crank-Nicolson in order to get a
good accuracy.
An alternative for the penalty function method is of course to use divergence-free elements.
Although it looks as if there is no reason to use implicit time-methods for this approach, it
must be remarked that due to the coupled character of the basis functions, the mass matrix
M can never be put into diagonal form. As a consequence, even an explicit method, requires
the solution of system of linear equations per time-step.
Finally in the next section we shall treat an alternative approach for the incompressible
time-independent Navier-Stokes equations, the so-called pressure-correction formulation.
7.3 The pressure-correction method
The pressure-correction method has, in ﬁrst instance, been developed for ﬁnite diﬀerence
methods. It is a special method for incompressible ﬂows. In fact the pressure-correction
method consists of two steps. In the ﬁrst step the momentum equation is solved with the
pressure at the preceding time-level. In this step the continuity equation is not taken into
account. The resulting velocity ﬁeld may be considered as an intermediate ﬁeld. In the next
step this intermediate ﬁeld is projected onto the space of divergence-free vector ﬁelds. This
step implicitly introduces a Poisson-type equation for the pressure. The pressure-correction
method is strongly coupled with the type of time-discretization. We shall demonstrate it for
the general θ-method. First we shall derive pressure-correction in the case that the space
discretization has not yet been applied. Next we shall apply the space discretization ﬁrst and
then derive the pressure-correction method.
Continuous approach
Consider the incompressible Navier-Stokes equations in dimensionless form:
∂u
∂t

1
Re
∆u +u · ∇u +∇p = f , (7.6a)
div u = 0 . (7.6b)
The θ method applied to (7.6a-7.6b) reads
u
n+1
−u
n
∆t
+ θ(−
1
Re
∆u
n+1
+u
n+1
· ∇u
n+1
+∇p
n+1
)
+ (1 −θ)(−
1
Re
∆u
n
+u
n
· ∇u
n
+∇p
n
) = θf
n+1
+ (1 −θ)f
n
, (7.7a)
74
div u
n+1
= 0 . (7.7b)
Here, n denotes the old time level and n + 1 the new time level. In the ﬁrst step of the
algorithm, the momentum equation is solved using p at the old time level. This yields an
intermediate velocity ﬁeld u

satisfying
u

−u
n
∆t
+ θ(−
1
Re
∆u

+u

· ∇u

) + (1 −θ)(−
1
Re
∆u
n
+u
n
· ∇u
n
) +∇p
n
= θf
n+1
+ (1 −θ)f
n
. (7.8)
u

is provided with the boundary conditions at level n + 1. In order to solve (7.8) of course
the term u

· ∆u

must be linearized with respect to the old solution u
n
.
Subtraction of (7.8) from (7.7a) gives
u
n+1
−u

∆t
+ θ(−
1
Re
∆u
n+1
+u
n+1
· ∇u
n+1
+
1
Re
∆u

−u

· ∇u

)
+ θ∇(p
n+1
−p
n
) = 0 . (7.9)
It can be shown that the second term of (7.9) is of the same order as the truncation error of
the method and hence may be neglected. As a consequence (7.9) reduces to
u
n+1
−u

∆t
+θ∇(p
n+1
−p
n
) = 0 . (7.10)
In the second step u

is projected onto the space of divergence-free vector ﬁelds by applying
the divergence operator to (7.10):
div u
n+1
−div u

∆t
+θ div ∇(p
n+1
−p
n
) = 0 . (7.11)
Since div u
n+1
= 0, (7.11) can be considered as an equation for the pressure diﬀerence
p
n+1
−p
n
:
∆(p
n+1
−p
n
) =
div u

θ∆t
. (7.12)
We have implicitly assumed that θ = 0; θ = 0 requires a slight modiﬁcation.
Equation (7.12) may be solved by a standard Galerkin method, provided boundary conditions
for the pressure are deﬁned along the complete boundary.
Once the pressure correction p
n+1
−p
n
has been computed, p
n+1
follows immediately. Finally
u
n+1
may be computed from (7.10).
The pressure-correction method requires the solution of two partial diﬀerential equations:
(7.8) and (7.12). For both equations the standard Galerkin method may be used. Since no
special parameter is introduced, it is possible to solve the resulting systems of linear equations
by iterative methods. A clear disadvantage of the continuous pressure-correction method is
that it is necessary to deﬁne boundary conditions for the pressure. This may be diﬃcult for
some types of boundaries and is not natural since the originating Navier-Stokes equations do
not require any pressure boundary conditions at all. This problem does not appear in the
so-called discrete pressure-correction method, in which ﬁrst the space discretization is applied
and afterwards the pressure correction.
75
Discrete approach
In the discrete approach we start with the discrete equations (7.3a-7.3b). For simplicity we
consider only the Stokes equations. The extension to Navier-Stokes is straight-forward. So
M ˙ u +Su −L
T
p = F , (7.13a)
Lu = 0 . (7.13b)
Application of the θ method to (7.13a) gives
M
u
n+1
−u
n
∆t
+θ(Su
n+1
−L
T
p
n+1
) +(1 −θ)(Su
n
−L
T
p
n
) = θF
n+1
+(1 −θ)F
n
, (7.14a)
Lu
n+1
= 0 . (7.14b)
Now the momentum equation (7.14a) is solved with the pressure at the old level. Hence
M
u

−u
∆t
+θSu

+ (1 −θ)Su
n
−L
T
p
n
= θF
n+1
+ (1 −θ)F
n
(7.15)
Subtraction of (7.15) from (7.14a), and neglecting the diﬀerence of the viscous terms gives:
M
u
n+1
−u

∆t
−θL
T
(p
n+1
−p
n
) = 0 . (7.16)
In order to apply the continuity equation (7.14b), it is necessary to premultiply (7.16) by
M
−1
. Then the pressure-correction step becomes:
θLM
−1
L
T
(p
n+1
−p
n
) = −
Lu

∆t
. (7.17)
In order to solve this equation in a simple way it is necessary that the matrix M is a diagonal
matrix and furthermore that the matrix LL
T
can be constructed in an easy way. In practice
this is a problem, since the structure of the matrix LL
T
is in general diﬀerent from the
structure of a standard Laplacian matrix. Only for the discontinuous pressure elements, both
structures are the same. Eﬃcient solution of (7.17) is still a research subject.
Once (7.17) has been solved p
n+1
can be computed, and ﬁnally u
n+1
from (7.16).
76
77
A Derivation of the integration by parts for the momentum
equations
In this appendix we shall prove the relation

(−div σ · v)dΩ =

σ · ∇v −

Γ
σ
nn
v
n

nt
v
t
dΓ . (A.1)
Proof:
If we substitute w = vu in the Gauss divergence theorem

div wdΩ =

Γ
w· ndΓ , (A.2)
and use the relation
div w = v div u +u · ∇v , (A.3)
we get

v div udΩ =

u · ∇vdΩ −

Γ
vu · ndΓ . (A.4)
Writing div σ · v in components (we restrict ourselves to 2D), we get by applying (A.4) to
the left-hand side of (A.1)

−(div

σ
11
σ
12

v
1
+div

σ
21
σ
22

v
2
)dΩ =

σ · ∇vdΩ −

Γ
v
1

σ
11
σ
12

n +v
2

σ
12
σ
22

ndΓ . (A.5)
So it remains to prove that the boundary integrals in (A.1) and (A.5) are equal.
The integrand in the boundary integral in (A.5) can be written as
σ · v · n = n · σ · v = n · σ(v
n
n +v
t
t)
= n · σ · nv
n
+n · σ · tv
t
= σ
nn
v
n

nt
v
t
(A.6)
78
References
1. A.N. Brooks and T.J.R. Hughes. Stream-line upwind/Petrov Galerkin formulstion for
convection dominated ﬂows with particular emphasis on the incompressible Navier-Stokes
equation. Comp. Meth. Appl. Mech. Eng., 32:199–259, 1982.
2. C. Cuvelier, A. Segal, and A.A. van Steenhoven. Finite Element Methods and Navier-
Stokes Equations. Reidel Publishing Company, Dordrecht, Holland, 1986.
3. M. Fortin. Old and new ﬁnite elements for incompressible ﬂows. Int. J. Num. Meth. in
Fluids, 1:347–364, 1981.
4. A. George and J.W.H. Liu. Computer Solution of Large Sparse Positive Deﬁnite Systems.
Prentice-Hall, Engelwood Cliﬀs, New Jersey, (USA), 1981.
5. T.J.R. Hughes. The Finite Element Method, Linear Static and Dynamic Finite Element
Analysis. Prentice Hall Inc., Englewood Cliﬀs, New Yersey, 1987.
6. T.J.R. Hughes, M. Mallet, and M. Mizukami. A new ﬁnite element formulation for compu-
tational ﬂuid dynamics: II. Beyond SUPG. Comp. Meth. Appl. Mech. Eng., 54:341–355,
1986.
7. D.S. Malkus and T.J.R. Hughes. Mixed ﬁnite element methods-reduced and selective
integration techniques: a uniﬁcation of concepts. Comp. Mech. Appl. Mech. Eng., 15:63–
81, 1978.
8. A. Mizukami. An implementation of the stream-line upwind, Petrov-Galerkin method for
linear triangular elements. Comp. Meth. Appl. Mech. Eng., 49:357–364, 1985.
9. J.G. Rice and R.J. Schnipke. A monotone streamline upwind ﬁnite element method for
convection-dominated ﬂows. Comp. Meth. Appl. Mech. Eng., 48:313–327, 1984.
10. R.L. Sani, P.M. Gresho, R.L. Lee, and D.F. Griﬃths. The cause and cure (?) of the
spurious pressure generated by certain FEM solutions of the incompressible Navier-Stokes
equations. Int. J. Num. Meth. in Fluids. Part I and Part II, 1 and 1:17–43 and 171–204,
1981.
11. A. Segal. On the numerical solution of the Stokes equations using the ﬁnite element
method. Comp. Mech. Appl. Mech. Eng., 19:165–185, 1979.
12. F. Shabib. Finite element analysis of the compressible Euler and Navier-Stokes equations.
PhD thesis, Dept. of Mech. Engng., Stanford University, USA, Stanford, California, USA,
1988.
13. G. Strang and G.J. Fix. An Analysis of the Finite Element Method. Prentice Hall Inc.,
Englewood Clifts, New Jersey, 1973.
14. C. Taylor and P. Hood. A numerical solution of the Navier-Stokes equations using the
ﬁnite element technique. Comput. Fluids, 1:73–100, 1973.
15. F.N. Van de Vosse. Numerical analysis of carotid artery ﬂow. PhD thesis, Eindhoven
University of Technology, The Netherlands, 1987.
79
16. J.J.I.M. van Kan. A second-order accurate pressure correction method for viscous incom-
pressible ﬂow. SIAM J. Sci. Stat. Comp., 7:870–891, 1986.
80

© 2008 by Delft Institute of Applied Mathematics, Delft, The Netherlands.

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Contents
1 Introduction 2 Introduction to the ﬁnite element method 2.1 Diﬀerential equations and boundary conditions . . . . . 2.2 Weak formulation . . . . . . . . . . . . . . . . . . . . . . 2.3 The Galerkin method . . . . . . . . . . . . . . . . . . . 2.4 The ﬁnite element method . . . . . . . . . . . . . . . . . 2.5 Computation of the element matrix and element vector 2.6 Higher order elements . . . . . . . . . . . . . . . . . . . 2.7 Structure of the large matrix . . . . . . . . . . . . . . . 5 8 8 9 11 12 15 17 18 22 22 22 24 27 30 35

. . . . . . .

. . . . . . .

. . . . . . .

. . . . . . .

. . . . . . .

. . . . . . .

. . . . . . . . . . . . .

. . . . . . . . . . . . .

. . . . . . . . . . . . .

. . . . . . . . . . . . .

. . . . . . . . . . . . .

. . . . . . . . . . . . .

3 Convection-diﬀusion equation by the ﬁnite element method 3.1 Formulation of the equations . . . . . . . . . . . . . . . . . . . . . 3.2 Standard Galerkin . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.3 Solution of the system of ordinary diﬀerential equations . . . . . . 3.4 Accuracy aspects of the SGA . . . . . . . . . . . . . . . . . . . . . 3.5 Streamline Upwind Petrov Galerkin . . . . . . . . . . . . . . . . . 3.6 Some classical benchmark problems for convection-diﬀusion solvers

4 Discretization of the incompressible Navier-Stokes equations by standard Galerkin 4.1 The basic equations of ﬂuid dynamics . . . . . . . . . . . . . . . . . . . . . . 4.2 Initial and boundary conditions . . . . . . . . . . . . . . . . . . . . . . . . . . 4.3 Axisymmetric ﬂow . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.4 The weak formulation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.5 The standard Galerkin method . . . . . . . . . . . . . . . . . . . . . . . . . . 4.6 Treatment of the non-linear terms . . . . . . . . . . . . . . . . . . . . . . . . 4.7 Necessary conditions for the elements . . . . . . . . . . . . . . . . . . . . . . . 4.8 Examples of admissible elements . . . . . . . . . . . . . . . . . . . . . . . . . 4.9 Solution of the system of linear equations due to the discretization of NavierStokes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 The 5.1 5.2 5.3 5.4 penalty function method Introduction . . . . . . . . . . . . . . . . . . . . . The discrete penalty functions approach . . . . . The continuous penalty function method . . . . . Practical aspects of the penalty function method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

39 39 40 42 43 45 46 48 50 53 56 56 57 58 60 62 62 63 67 69 70 71

6 Divergence-free elements 6.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.2 The construction of divergence-free basis functions for 2D elements . . . . . . 6.3 The construction of element matrices and vectors for (approximate) divergencefree basis functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.4 Boundary conditions with respect to the divergence-free elements . . . . . . . 6.5 Computation of the pressure . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.6 Practical aspects of the divergence-free elements . . . . . . . . . . . . . . . . 3

7 The 7.1 7.2 7.3

instationary Navier-Stokes equations Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Solution of the instationary Navier-Stokes equations by the method of lines . The pressure-correction method . . . . . . . . . . . . . . . . . . . . . . . . . .

72 72 72 74 78

A Derivation of the integration by parts for the momentum equations

4

Since. In the last decade. accurate upwind methods have been constructed. The most popular one.the eﬃcient solution of large systems of linear equations. In this approach the continuity equation is perturbed with a small compressibility including the pressure. The absence of the pressure in the continuity equation induces zeros at some of the diagonal elements of the matrix. In Chapter 4 the discretization of the incompressible Navier-Stokes equations is considered. As a consequence both the number of iterations and the computation time decrease. In ﬁnite diﬀerences and ﬁnite volumes the equivalent of the BB condition is satisﬁed if staggered grids are applied.1 Introduction In this second course on numerical ﬂow problems we shall focus our attention to two speciﬁc subjects: . it is very natural to study eﬃcient solution methods. It is shown that upwinding may increase the quality of the solution considerably. In general linear solvers may be inﬂuenced by such zeros. In the ﬁrst part of these lectures we shall be concerned with the discretization of the incompressible Navier-Stokes equations by the ﬁnite element method (FEM). Chapter 5 treats the most popular segregated method. From this perturbed equation the pressure is expressed in terms of velocity and this is substituted into the momentum equations. .the solution of the incompressible Navier-Stokes equations by ﬁnite elements. Another important aspect of upwinding is that it makes the systems of equations more appropriate for the iterative methods treated in part II. Since the pressure is an unknown in the momentum equations but not in the continuity equation. the so-called streamline upwind Petrov-Galerkin method (SUPG). will be treated in Chapter 3. The application of the FEM to potential problems is considered and the extension to convection-diﬀusion type problems is studied. Even if the BB condition is satisﬁed we are still faced with a problem with respect to the solution of the linear systems of equations. is the lack of upwind techniques. always results in the solving of a number of large systems of sparse linear systems. in general the solution of these systems and the storage of the corresponding matrices take the main part of the resources (CPU time and memory). A disadvantage of this method is that the perturbation parameter 5 . First we shall give a short introduction of the FEM itself. This s condition makes a relation between pressure and velocity approximation. In this way the velocity can be computed ﬁrst and afterwards the pressure. which all try to segregate the pressure and velocity computation. the so-called penalty function formulation. however. at ﬁrst sight there seems no connection between both subjects. One of the reasons why ﬁnite elements have been less popular in the past than ﬁnite diﬀerences. it must be remarked that the numerical solution of partial diﬀerential equations and hence also of the Navier-Stokes equations. Although. some iterative solvers even do not allow non-positive diagonal elements. the discretization must satisfy some special requirements. In fact one is no longer free to choose any combination of pressure and velocity approximation but the ﬁnite elements must be constructed such that the so-called Brezzi-Babuˇka (or BB) condition is satisﬁed. The Galerkin method is introduced as a natural extension of the so-called weak formulation of the partial diﬀerential equations. For that reason alternative solution methods have been developed.

convergence can be very slow so the computing time may be much larger than for direct methods. the so-called pressure-correction method. This method seems very attractive. which one is 6 . Since these methods are implemented on computers we consider the behavior of the methods with respect to rounding errors. In Chapter 2 we consider classical iterative methods for linear equations. For the details we refer to Chapter 5. and in Chapter 4 Krylov methods for general matrices. We only note that in essence a preconditioned Krylov method is a combination of a method given in chapter 3 and 4 and a basic iterative method or an incomplete direct method. This method is also popular in ﬁnite diﬀerences and ﬁnite volumes. For large problems the memory requirements of direct methods are a bottle neck.and 3 dimensional partial diﬀerential equations. These methods are very cheap with respect to memory requirements. In the second part we consider the eﬃcient solution of large system of linear equations. proﬁle or ”general sparse” matrices we can solve much larger systems. in Chapter 7. We shall summarize the most successful ones and try to give some guidelines for choosing a method depending on the properties of the problem. Thereafter we consider the Lanczos method for symmetric matrices.introduces extra complications. which are given in Chapter 6. A drawback for general matrices is that there are many methods proposed and until now there is no clear winner. and enhance mathematical methods for solving a physical problem. using special methods for banded. The Krylov subspace methods become much faster if they are combined with a preconditioner. Finally. The rate of convergence is much better than for basic iterative methods. In Chapter 3 the conjugate gradient method for symmetric positive deﬁnitive matrices. As applications and examples we mostly use systems of equations resulting from the discretization of 2. However. In Chapter 3 and 4 we consider modern iterative methods of Krylov subspace type. In this method. the extension to three-dimensional problems is very diﬃcult. These methods only use the non zero part of the resulting decomposition. If only a small number of eigenvalues are needed for a very large matrix it is a good idea to use iterative methods. whereas no knowledge of the spectrum is needed in contrast with some basic iterative methods. These methods are used if the dimension of the system is not too large. We start with the Power method which is easy to understand. the elements are constructed in such a way that the approximate divergence freedom is satisﬁed explicitly. To that end it is necessary to introduce the stream function as help unknown. and approximate the largest eigenvalue. methods for the time-dependent incompressible Navier-Stokes equations are treated. In many applications eigenvalues give information of physical properties (like eigenmodes) or they are used to analyze. In Chapter 6 an alternative formulation is derived. which is closely related to the CG method. Again for general matrices diﬀerent methods are proposed and it is not always clear. We start in Chapter 2. however. the so-called solenoidal approach.1 by considering direct methods as there are: Gaussian elimination and Cholesky decomposition. For this type of methods an alternative segregation is possible.

At this moment vector computers give the best results. 7 . with respect to computing time and memory. we expect that in the near future parallel computers (especially those based on a clustering of very fast nodes) will beat them for real live problems. Finally in Chapter 7 we give a summary of present day supercomputers. For the problems considered in this report supercomputers are necessary to obtain results for large 3 dimensional problems. However.and parallel computers. There are mainly two types: vector.the best.

The main reason to use the FEM is its ability to tackle relatively easily.4) (2. Common boundary conditions in equation (2.1 is usually written in vector notation: ρ ∂c − div (A∇c) + βc = f.1) where c denotes the unknown.3) are: c = g1 on Γ1 . In this sense the FEM forms an alternative for ﬁnite diﬀerence methods (FDM) or ﬁnite volume methods (FVM).2 2. The coeﬃcient β is zero in many practical problems.6) . and to make the problem well posed it is necessary to prescribe exactly one boundary condition at each part of the boundary. problems that are deﬁned on complex geometries. In this chapter we restrict ourselves to linear problems only.2) where ∇ denotes the gradient operator. so equation (2. (σ ≥ 0). In this introductory chapter we shall neglect the convective terms and focus ourselves to diﬀusion type problems: ρ n ∂ ∂c − ∂t i.j=1 ∂xi aij ∂c ∂xj + βc = f (2. the equations become non-linear. n is the dimension of space which in our applications varies from 1 to 3. Equation 2. The last type of equations are the subject of Chapter 4. The matrix A with elements aij represents the diﬀusion tensor and is supposed to be symmetric and positive deﬁnite.3) has a unique solution. (2. aij . f represents a source term and ρ ∂c the time-derivative part. However. β and f may depend on time and the space variable x. but is added for the sake of generality. and convection-diﬀusion type of equations will be the subject of Chapter 3.1 Introduction to the ﬁnite element method Diﬀerential equations and boundary conditions The ﬁnite element method (FEM) may be considered as a general discretization tool for partial diﬀerential equations. In this lecture we shall restrict ourselves to the application of the FEM to two general types of diﬀerential equations: the convection-diﬀusion equation and the incompressible Navier-Stokes equations.5) (2.3) In order that equation (2. and hence in general requires standard software packages. the programming of ﬁnite element methods is more complicated than that of ﬁnite diﬀerences. In this chapter we shall only consider stationary problems.2) reduces to −div (A∇c) + βc = f (2. temperature or concentration. If the coeﬃcients also depend on the solution. σc + A∇c · n = g3 on Γ3 8 A∇c · n = g2 on Γ2 . ∂t (2. All coeﬃcients ρ. In the sequel the region at which the diﬀerential equation is deﬁned is called Ω and its boundary is denoted by Γ. where ∂t ρ must be positive in the instationary case. for example the potential.

It is common practice to apply integration by parts to equation (2.3) with boundary conditions (2. no equivalent minimization problem exists. integration by parts is derived by applying the Gauss divergence theorem: div a dΩ = a · n dΓ (2. which has exactly the same solution as the diﬀerential equation. Both methods lead ﬁnally to exactly the same result.3) over the domain Ω and applying the Gauss divergence theorem. Originally the weak formulation has been introduced by pure mathematicians to investigate the behavior of the solution of partial diﬀerential equations.where the boundary Γ is subdivided into three parts Γ1 . and to prove existence and uniqueness of the solution. Γ3 = φ and β = 0. the function ϕ is determined up to an additive constant. one can derive an equivalent minimization problem.3) under the boundary conditions (2. since for the general equations to be treated in Chapters 2 and 4. The weak formulation of equation (2. however. determines whether (2. Γ2 and Γ3 . Other types of boundary conditions may also be applied.2 Weak formulation Before applying the FEM to solve equation (2. Γ (2. So: (−div(A∇c) + βc) v dΩ = Ω Ω f v dΩ .6). 2. it is necessary to transform the equation into a more suitable form.6) has a unique solution provided the coeﬃcients and the boundary of the region are suﬃciently smooth.8) has a solution and whether this solution is unique. Boundary conditions of type (2. (2.6). To do that there are two alternatives: 1. Later on numerical schemes have been based on this formulation which lead to an approximate solution in a constructive way. boundary conditions of type (2.3) can be derived by multiplying (2.8) in order to get rid of the second derivative term. Only in the special case Γ1 = φ. In fact (2.4) to (2.5) Neumann conditions and boundary conditions of type (2. we shall restrict ourselves to method 2. one can derive a so-called weak formulation.6) are called Robbins boundary conditions.8) The choice of the class of functions to which v belongs. 2.4) to (2. It can be shown that equation (2.3) by a so-called test function v and integrating over the domain.5) may be considered as a special case of (2. In that case the functions f and g2 must satisfy the compatibility condition f dΩ = − g2 dΓ .4) are called Dirichlet boundary conditions. but they will not be studied in this lecture.7) Ω (2.9) Ω Γ 9 .7) can be derived by integrating equation (2.

Furthermore it is necessary to demand some smoothness requirements for the functions c and v.14) Γ Γ1 Γ2 Γ3 On boundary Γ1 we have the boundary condition c = g1 . This boundary integral can be subdivided into three parts: vA∇c · ndΓ = vA∇c · ndΓ + vA∇c · ndΓ + vA∇c · ndΓ .4) to (2. Ω (2.10) Ω Ω Γ and so (2.4) and furthermore in order to get rid of the boundary integral over Γ1 : v = 0 at Γ1 .11) in (2.6) are applied by evaluating the boundary integral at (2.14) we demand that the function c in (2. One can prove that it is suﬃcient to require that all integrals in (2.3) under the boundary conditions (2. (2.13) Ω Γ The boundary conditions (2.5).8) can be written as {A∇c · ∇v + βcv} dΩ − vA∇c · ndΓ = f vdΩ .12) (2.11) (2.13) satisﬁes (2.to the function a = v A∇c .4) to (2.9) yields vdiv A∇c dΩ = − ∇v · A ∇c dΩ + v A∇c · ndΓ (2.16) Ω for all functions v satisfying v|Γ1 = 0.6) are called natural.6) now becomes: ﬁnd c with c|Γ1 = g1 such that {A∇c · ∇v + βcv} dΩ + σ cv dΓ = Γ3 Ω f v dΩ + Γ2 g2 v dΓ + Γ3 g3 v dΓ . since they are implicitly satisﬁed by the formulation. The boundary conditions (2. (2. which means that both ∇c and ∇v must be square integrable.5) and the same is true for boundary Γ3 .4) is called essential.15) On boundary Γ2 we can substitute the boundary condition (2. For that reason we do not demand anything for the solution c or the test function v at these boundaries. (2. Since this boundary condition can not be incorporated explicitly in (2. The weak formulation corresponding to equation (2. (2. Substitution of (2. since it should be satisﬁed explicitly. Hence div a = div(vA∇c) = ∇v · A∇c + vdiv A∇c .13) if possible. These terms are in ﬁrst instance motivated by the corresponding minimization problem. The boundary condition (2. We see in this expression that an essential boundary condition automatically implies that the 10 .16) exist.

However. This leads to a linear system of n equations with n unknowns. However. In this method the solution c is approximated by a linear combination of expansion functions the so-called basis functions: n c (x) = j=1 n cj ϕj (x) + c0 (x) (2. one can state that if the boundary conditions contain second or third derivatives they are natural.16) instead of (2. however. The easiest way to check whether a boundary condition is essential or natural is to consider the boundary integrals.. Starting point is the so-called Galerkin method. all boundary conditions containing ﬁrst derivatives are natural. After substitution of (2.3)-(2.6) to derive the discretization.. In fourth order problems the situation is more complex. provided a suﬃcient number of basis functions is used in the linear combination (2. in general. It is not immediately clear whether a boundary condition is essential or natural.16) is one of the various possible weak formulations.17) and (2.20) into (2.16) we get the so-called Galerkin formulation {A∇cn · ∇ ϕi + β cn ϕi } dΩ + = Ω σcn ϕi dΓ Γ3 Ω f ϕi dΩ + Γ2 g2 ϕi dΓ + Γ3 g3 ϕi dΓ .. Otherwise the condition is essential and the test functions must be chosen such that the boundary integral vanishes. the boundary condition is natural. and a given function at the boundary is essential. The choice (2.3 The Galerkin method Formulation (2. one can say that for second order diﬀerential equations. whereas boundary conditions containing only the function or ﬁrst order derivatives are essential. In general. 2. In general this means that c0 (x) = g at Γ1 ϕj (x) = 0.21) 11 . Furthermore they must be such that an arbitrary function in the solution space can be approximated with arbitrary accuracy.20) implies immediately that v satisﬁes the essential boundary conditions for v. n) the test functions v are chosen in the space spanned by the basis functions ϕ1 (x) to ϕn (x). except in the case where we have a corresponding minimization problem. In the FEM we use formulation (2.corresponding test function is equal to zero. .17) where the parameters cj are to be determined. it is the most common one and also the most suitable for our purpose.18) (2.20) into equations (2. (2.16).17). whereas the natural boundary conditions do not impose any condition either to the unknown or to the test function. The function c0 (x) must be chosen such that cn (x) satisﬁes the essential boundary conditions. at Γ1 (2. It is suﬃcient to substitute v(x) = ϕi (x) i = 1(1)n (2. The basis functions ϕj (x) must be linearly independent.19) In order to determine the parameters cj (j = 1. If in some way the boundary condition can be substituted. for physical problems. 2.

(2. in I 2 usually triangles or quadriR R laterals and in I 3 tetrahedra and hexahedra are very popular. These polynomial approximations implicitly deﬁne the basis functions ϕi .22) is a system of n linear equations with n unknowns.23) with sij = Ω {A∇ϕj · ∇ϕi + β ϕi ϕj } dΩ + f ϕi dΩ + g2 ϕi dΓ + Γ3 Γ3 σ ϕj ϕi dΓ .24a) Fi = Ω g3 ϕi dΓ − Ω {A∇c0 · ∇ϕi + β c0 ϕi } dΩ . (2. The subdivision of a region R in elements is performed by a so-called mesh generator. In I 1 these elements are intervals. (2. (2. xi ) (see FigR ure 2.24b) in a relatively simple way. In each element a number of nodal points are chosen and the unknown function is approximated by a polynomial.4 The ﬁnite element method The FEM oﬀers us a constructive way to create the basis functions ϕi and to compute the integrals in (2. which can be written in matrix-vector notation as S c=F .      cj j=1      Ω {A∇ϕj · ∇ϕi + β ϕi ϕj }dΩ + g2 ϕi dΓ + Γ2 Γ3 σ ϕj ϕi dΓ Γ3 = f ϕi dΩ + Ω g3 ϕi dΓ − Ω {A∇c0 · ∇ ϕi + β c0 ϕi } dΩ .with cn = Hence n n j=1 cj ϕj + c0 . For example a piecewise linear polynomial in I 1 deﬁned on n elements ei (xi−1 . To that end the region Ω is subdivided into simple elements. f1 f0 f n-1 x0 x1 xn-1 fn xn Figure 2. Although other types of approximations are permitted it is common practice to restrict one selves to lower degree polynomials (linear or quadratic).1).24b) 2.22) Clearly (2.24a-2.25) 12 . Γ3 (2.1: Piecewise linear approximation of function f (x) can be written as f n (x) = j=0 n f (xj )λj (x).

however for quadratic elements. λj (xk ) = δjk .5. (2. i. R a) b) xi-1 xi-1/2 xi xi+1/2 xi+1 xi-1 xi-1/2 xi Figure 2.28) 13 . ϕi(x) xi-1 xi xi+1 Figure 2.3 shows the two types of quadratic basis functions we may expect in I 1 . R With respect to the linear elements. Once the basis functions have been constructed it is necessary to compute the integrals (2.24b) in order to build the matrix and right-hand side of the system of equations (2. ϕi (xj ) = δij . For a typical ﬁnite element grid as the one depicted in Figure 2.where λj (x) is deﬁned as follows: λj (x) is linear on each element. these computations seem rather complicated. For that reason the integrals over the region are split into integrals over the elements.2: Example of a linear basis function In the case of so-called quadratic elements in I 1 we deﬁne the vertices as well as the centroid R as nodal points and the basis functions ϕi (x) are deﬁned by ϕi (x) is quadratic on each element.23).27) Figure 2. (2. Figure 2.2 shows a typical linear basis function ϕi (x). In general one can state that the boundary must be approximated with the same type of polynomials as the solution. (2.3: Quadratic basis functions in I 1 a) corresponding to vertex b) corresponding to R midpoint In I 2 and I 3 the basis functions are merely extensions of the one-dimensional basis functions. the boundaries of the elements are usually straight.e. R R Typical elements in I 2 have been sketched in Figure 2. the boundaries of the elements may be quadratic in order to get a good approximation of the boundary. ne Ω {A∇ϕi · ∇ϕi + β ϕi ϕj } dΩ = k=1Ωek {A∇ϕi · ∇ϕi + β ϕi ϕj } dΩ.24a) and (2.26) So in terms of the Galerkin method the function values f (xj ) take the role of the parameters and the shape functions λj (x) the role of the basis functions.4.

For a linear triangle such an element matrix is for example of size 3 × 3.5: Typical example of a two-dimensional ﬁnite element mesh. and so on. b) quadratic triangle.a) b) c) d) Figure 2. So it is suﬃcient to compute only those integrals that are non-zero on the element and store them in a so-called element matrix. If we restrict ourselves to a typical element ek . Only those basis functions corresponding to nodal points in the element ek have a non-zero contribution to the integrals. Since the mesh generator produces automatically the topological information of the mesh. c) bilinear R quadrilateral.24b) so-called boundary elements or line elements are introduced. In (2.4: Examples of elements inI 2 : a) linear triangle. In exactly the same way it is natural to introduce the so-called element vector.28) ne is the number of elements and Ωek is the area of element ek .24a) and (2.30) In order to compute the boundary integrals in (2.29) Ωek are unequal to zero. These boundary elements are identical to the intersection 14 . which in a linear triangle reduces to a 3 × 1 vector. it is an easy task for the computer to carry out the additions. d) biquadratic quadrilateral Y X Figure 2. then it is clear that only a very little number of the possible integrals {A∇ϕi · ∇ϕi + β ϕi ϕj } dΩ (2. with elements f ϕi dΩ Ωek (2.

Here we have assumed that the boundary is identical to the outer boundary of the elements.24b) is now reduced to the computation of some integrals over an arbitrary element. For the sake of simplicity we shall restrict ourselves to I 2 .5 Computation of the element matrix and element vector The evaluation of the system of equations (2. Hence we get: σ ϕi ϕj dΓ = Γ3 nbe3 k=1 Γek 3 nbe2 k=1 Γek 2 nbe3 k=1 Γek 3 σ ϕi ϕj dΓ g2 ϕi dΓ g3 ϕi dΓ (2.32) Before we are able to compute this integral it is necessary to compute the basis functions ϕi .26.29): R e Sijk = Ωek {A∇ϕj · ∇ϕi + β ϕj ϕi } dΩ (2.23).24a-2.6: Linear triangle with local numbering where the local numbering of Figure 2.31) g2 ϕi dΓ Γ2 = = g3 ϕi dΓ Γ3 2.26. For a so-called linear triangle (see Figure 2. with a1 a2 a3 0 0 0   1 A =  a1 a2 a3  1 1 a1 a2 a2 2 2 2 3   (2.26).33) and hence A = X −1 1 x1 y 1   X =  1 x2 y 2  1 x3 y 3   (2. (2. From (2.(2)): XA = I .6 is used. As an example we consider the computation of the integral given by (2. A necessary condition for the existence of 15 .34) 2 1 Figure 2. ϕi (x) = λi (x) is deﬁned by (2.of the internal elements with the boundaries Γ2 and Γ3 and have no other purpose then to evaluate the boundary integrals.(1)) it follows that: λi (x) = ai + ai x + ai y 0 1 2 and from (2.6).

wk are the weights and xk the co-ordinates of the quadrature points. The weights and quadrature points of the Gauss rules can be found in the literature. (2.39) 1 2 (m1 + m2 + .28) and (2. This determinant is given by: △ = (x2 − x1 )(y3 − y2 ) − (y2 − y1 )(x3 − x2 ) (cyclic) (2. Application of (2. (2. .40) Int (x)dΩ = 6 k=1 Ωen where xk is the kth vertex of the triangle.41) .36) a1 = 2 Since ∇λi = ai 1 ai 2 − x2 ) a2 = 2 3 − x3 ) a2 = . see Holand and Bell (1969).32) gives e Sijk = |△| 3 A(xk )∇ ϕi · ∇ ϕj + β(xk )δij 6 k=1 16 (2. The Newton-Cotes rule can be derived by: n+1 Int (x) = k=1 Int (xk ) ϕk (x). + mn+1 + n)! simplex where n denotes the dimension of space. (2.35) One can prove that |△| is equal to two times the area of the triangle. In practice it is necessary that the largest angle of the triangle is limited by some angle (for example 150◦ ). A quadrature rule has usually the shape: m Int (x)dΩ = Ωek k=1 wk Int (xk ). and application of the general rule: m1 ! m2 ! . see for example Strang and Fix (1973) or Hughes (1987). mn+1 ! mn+1 λm1 λm2 . .38) where n + 1 is the number of basis functions in the element. (2.37) where m is the number of quadrature points in the element. .36) immediately deﬁnes the gradient of ϕi .34) and one immediately veriﬁes that 2 1 they are given by: 1 a1 = 1 △ (y2 1 △ (x3 − y3 ) a2 = 1 1 △ (y3 1 △ (x1 − y1 ) a3 = 1 1 △ (y1 1 △ (x2 − y2 ) − x1 ) . The coeﬃcients ai and ai are easily computed from (2. hence the triangle may not deform to a line. (2. For a proof. In general the integral (2. We distinguish between the so-called Newton-Cotes rule based upon exact integration of the basis functions and so-called Gauss quadrature. From (2. page 84. . .32) can not be computed exactly and some quadrature rule must be applied.40) to (2. (2. .39) it follows that the Newton-Cotes rule for the linear element is deﬁned by: |△| 3 Int (xk ). λn+1 dΩ = |△|.λi (x) is that the determinant of the matrix to be inverted is unequal to zero.

One can verify that the basis functions ϕi (x) may be expressed in terms of the linear basis function λi (x) by: ϕi (x) = λi (2λi − 1). Quadrilateral elements are not so easy to derive. A simple extension of the linear triangle is for example the quadratic triangle. 6 (2. See Figure 2.46) ϕij (x) = 4λi λj . Nodal points will be either the vertices (bi-linear elements) or the vertices and midside points (bi-quadratic elements).8 for the deﬁnition of the nodes.31) we use linear boundary elements as sketched in Figure 2. (2. However. 1 ≤ i < j ≤ 3.7. For that element both the vertices and the mid-side points are used as nodal points. with local numbering. However to derive the basis function the quadrilateral is mapped onto a square reference element. (2. in practice also other types of elements are used. g3 (xi ). Such a mapping is plotted in Figure 2. 2. 17 .7: Linear boundary element in I 2 . R One easily veriﬁes that the Newton-Cotes rule for this element is identical to the trapezoid rule: h (2.9.In the same way (2. g2 (xi ).6 Higher order elements In (2.45) 2.31) gives e Γ3k e Γ2k e Γ3k σ ϕi ϕi dΓ = g2 ϕi dΓ g3 ϕi dΓ = = h 2 h 2 h 2 σ(xi )δij .43) to the three integrals (2.42) In order to evaluate the boundary integrals (2.43) Int(x) = (Int(x1 ) + Int(x2 )) . 2 1 Figure 2. i = 1.30) may be approximated by fiek = |△| f (xi ) . See for example Cuvelier et al (1986) for a derivation.44) Application of (2. 2 Γe where h is the length of the element: h= (x2 − x1 )2 + (y2 − y1 )2 (2.5) we have derived the element matrix and vector for linear triangles. 3.

(2. The transformation itself is a so-called isoparametric transformation deﬁned by the basis functions in the following way: x y 4 = k=1 ϕi (ξ.8: Quadratic triangle with nodal points and local numbering. Furthermore one can prove that the matrix S is positive deﬁnite.9: Mapping T from quadrilateral in (x. For example: A∇ϕi · ∇ϕi + β ϕi ϕj dΩxy = {A∇ϕi · ∇ϕi + β ϕi ϕj } |J| dΩξη .24a) it is clear that this matrix is symmetric.23): S c=F (2. All basis functions are derived in the reference element by choosing products of one-dimensional basis functions. η) plane.7 Structure of the large matrix The ﬁnite element method applied to the linear diﬀerential equation (2. From the relation (2.47) ek Ωxy ek Ωξη where J is the Jacobian of the transformation. 2. Also all integrals to be computed over the quadrilateral are transformed to integrals over the reference element. (2.3) leads to linear systems of equations of the form (2.49) The matrix is often referred to as the stiﬀness matrix. η) xk yk . y)-plane onto square in (ξ.3 13 23 1 12 2 Figure 2.48) For details of the derivation of basis functions and element matrices and vectors the reader is referred to Cuvelier et al (1986). 18 . 4 3 T η y 1 x 2 ξ 1 2 4 3 Figure 2.

it is clear that only the entries sii . If we identify row i in matrix S with nodal point i.except in the case of Neumann boundary conditions and β = 0. . So we see that in the matrix S. sij . If the numbering of the nodal points is chosen in a clever way.12a shows that in case of a horizontal numbering the band width is equal 19 . Such a matrix is called sparse. then it is clear that the basis function corresponding to nodal point i is only non-zero in those elements j O k i n l m Figure 2. For example if we consider the mesh in Figure 2. with n nodes in horizontal and m nodes in vertical direction. Figure 2.11 with rectangular elements. containing node i. All other matrix elements in row i are identical to zero. As a consequence products with basis functions that correspond to nodes not in these triangles are zero. only a very limited number of entries is non-zero. in which case the matrix is singular because the original problem is singular. sio may be unequal to zero. . the sparse matrix S may have a band structure.10: Nodal point i with direct neighbors j − o as part of a triangular mesh.10. . If we consider a number of adjacent triangles in a mesh as sketched in Figure 2. then a natural numbering is to use either a horizontal or a vertical numbering of m 2 1 1 2 n Figure 2.11: Rectangular elements in a rectangle. the nodes. .

and so locally a larger band width may be present. because of the periodical boundary conditions. A typical example is sketched in Figure 2.to 2n + 3. 20 . where n is the number of nodes in horizontal direction. the matrix is full. Figure 2. The external non-zero elements in this matrix deﬁne the so-called proﬁle. with m the number of nodes in vertical direction. In this example point i is connected to points i − 1 and i + 1 leading to a band width of 3. A very simple example of a proﬁle matrix is created by a one-dimensional example with periodical boundary conditions as sketched in Figure 2. for problem with periodical boundary conditions.13: Example of a matrix with a local wide proﬁle.11. Hence an optimal band width is achieved if nodes are numbered in the shortest direction. In general ﬁnite element meshes are not so structured as the one in Figure 2. The corresponding matrix gets the structure as sketched in Figure 2. which means that in case of a band storage.15b is much smaller.12b shows that a vertical numbering leads to a band width of 2m + 3. i+n-1 i+n i+n+1 i-m+1 i+1 i+m+1 a) i-1 i i+1 b) i-m i i+m i-n-1 i-n i-n+1 i-m-1 i-1 i+m-1 Figure 2.15. point n and 1 have the same unknown and point 1 is connected to both n − 1 and 2. However.14: One-dimensional mesh.14. 1 2 n-1 (n=1) Figure 2.13 profile band Figure 2. The band width of this matrix is equal to n − 1.12: Connections of node i with neighbors a) horizontal numbering b) vertical numbering. The proﬁle sketched in Figure 2. Point n − 1 connected to n − 2 and 1.

21 . b) corresponding proﬁle. See for example George and Liu (1981). whereas methods using the proﬁle of the matrix only are called proﬁle methods. Iterative methods fully utilize the sparsity pattern of the matrix and are therefore recommended in case of problems with many unknowns. Methods employing the band-structure are called band methods. A good numbering may reduce the band width or the proﬁle of the matrix considerably.49). Part II of this book is devoted to eﬃcient methods for the solution of systems of equations of the form (2. Both methods belong to the class of direct solvers. Many of them are variants of the so-called Cuthill-Mckee renumbering algorithm.15: a) non-zero pattern of one-dimensional problem with periodical boundary conditions.a) b) Figure 2. For ﬁnite element methods various renumbering algorithms have been constructed.

4) (3. It will be shown that this upwinding improves the accuracy considerably. however. In general this means that at outﬂow one usually applies natural boundary conditions. 3. boundary conditions must be given at outﬂow. equation (3.2 Standard Galerkin In order to apply the standard Galerkin approach (SGA) the weak formulation of (3. Dirichlet boundary conditions may result in unwanted wiggles. where u denotes the velocity. the convection term strongly dominates the diﬀusive terms. boundary conditions should only be given at inﬂow not at outﬂow. 22 . With respect to the instationary equation it is not only necessary to prescribe boundary conditions.1) Compared to equation (2. ∂xi (3.1) is extended with the convective term n ui i=1 ∂c .1).j=1 ∂xi ∂xj ∂xi i=1 (3. ∂t i. For that reason an upwinding technique is introduced. it is advised to use those boundary conditions that inﬂuence the solution as little as possible.4) it is necessary to prescribe exactly one boundary condition at each part of the boundary.6) is derived.3) may be used.3) For a unique solution of (3. (3.1 Convection-diﬀusion equation by the ﬁnite element method Formulation of the equations In this chapter we shall investigate the solution of convection-diﬀusion equations of the shape: ρ n n ∂c ∂ ∂c ∂c − (aij )+ ui + βc = f .1) reduces to: −div (A ∇ c) + (u · ∇c) + βc = f . In the stationary case.1) under the boundary conditions (2. For a pure convection equation.(2. Since for the convection-diﬀusion equation. (3.3 3. In the remainder of this chapter we shall study the discretization of the convection-diﬀusion equation by ﬁnite elements and standard Galerkin. Numerically this means that the character of the equations resembles more that of the pure convection equation than that of the diﬀusion equation. Theoretically exactly the same type of boundary conditions as for equation (2. It will be shown that this discretization might introduce inaccurate solutions in the case of dominant convection. In many practical ﬂow problems. but also to deﬁne an initial condition.2) or in vector notation (u · ∇ c) .4) .

(3. i..e.19) are still necessary. Γ3 σcvdΓ = Γ3 f vdΩ + Ω Γ2 g2 vdΓ + (3. n) are substituted. 23 (3.10) . 0) given and c|Γ1 = g1 such that ∂c vdΩ + ∂t ρ Ω Ω {(A∇c · ∇v) + u · ∇cv + βcv}dΩ + g3 vdΓ .7) for all functions v(x) satisfying v|Γ1 = 0 .6) Substitution of the boundary conditions in the same way as is performed in Chapter 2 results in the weak formulation: Find c(x. (3.9) − Ω {(A∇c0 · ∇ϕi ) + βc0 ϕi + (u · ∇c0 )ϕi }dΩ − Ω Clearly (3. So ﬁnally we arrive at the Galerkin formulation: ∂cj ∂t j=1 + Γ3 n n ϕi ϕj dΩ + Ω j=1 cj { [(A∇ϕj · ∇ϕi ) + (u · ∇ϕj )ϕi + βϕi ϕj ]dΩ Ω σϕi ϕj dΓ} = Ω f ϕi dΩ + Γ2 g2 ϕi dΓ + Γ3 g3 ϕi dΓ ∂c0 ϕi dΩ . t) must satisfy the same requirements as in Chapter 2.8) The basis functions ϕj (x) and the function c0 (x. which can be written in matrix-vector notation as ˙ M c + Sc = F .9) forms a system of n linear ordinary diﬀerential equations with n unknowns.. (2.5) can be written as ρ Ω ∂c vdΩ + ∂t Ω {(A∇c · ∇v + βcv + u · ∇c)v}dΩ − Γ vA∇c · ndΓ = f vdΩ .18) and (2.5) ∂t Ω Ω Ω After application of the Gauss divergence theorem. In the SGA the weak form (3. t) = j=1 cj (t)ϕj (x) + c0 (x. . To that end we deﬁne time-independent basis functions in exactly the same way as for the potential problem. t) with c(x. ∂t i = 1(1)n .7) is approximated by a ﬁnite dimensional subspace. Ω (3.Multiplication of (3. The solution c is approximated by a linear combination of the basis functions: n ch (x. (3.1) by a time-independent test function v and integration over the domain yields: ∂c ρ vdΩ + {−div (A∇c) + (u · ∇c) + βc}vdΩ = f vdΩ . 2. (3. t) . For the test functions v(x) again the basis functions ϕi (x) (i = 1..12). which results in relation (2.

The (dis-)advantages of both types of matrices will be treated in Paragraphs 3. if the integrals (3. 3. After that.3 Solution of the system of ordinary diﬀerential equations The discretization of the instationary convection-diﬀusion equation results in a system of ordinary diﬀerential equations of the shape (3.10) we restrict ourselves to the 24 . the method is called implicit.10) is replaced by a forward diﬀerence discretization: ck+1 − ck ˙ . In this chapter we shall restrict ourselves to one-step methods only. In the next paragraph we shall consider some methods to solve the instationary equations. The only extra parts are the time-derivative with the mass matrix and the extra convective terms in the stiﬀness matrix. The elements of the matrices and right-hand side are deﬁned by: mij = Ω ϕi ϕj dΩ {(A∇ϕj · ∇ϕj ) + (u · ∇ϕj )ϕi + βϕi ϕj }dΩ + f ϕi dΩ − σϕi ϕj dΓ Γ3 (3. Among the many available methods for solving the system (3. (3. even if the matrix M is the identity matrix. A method is called explicit if the term Sc is only taken at the time-level k.11a) are computed by the Newton Cotes rule corresponding to the basis functions. In most ordinary diﬀerential equation solvers the time derivative in (3.12) c= ∆t where k denotes the present time-level and k + 1 the next time-level. In general one may distinguish between explicit and implicit methods and between one-step and multi-step methods. The reason is that in that case always a system of equations has to be solved.11b) sij = Ω Fi = Ω Ω {(A∇c0 · ∇ϕi ) + (u · ∇c0 )ϕi + βc0 ϕi }dΩ g2 ϕi dΓ + Γ2 Γ3 − Ω ∂c0 ϕi dΩ + ∂t g3 ϕi dΓ .where . problems in case of a dominant convective term will be investigated and a upwind technique will be introduced. However. Due to these extra convective terms the stiﬀness matrix becomes non-symmetric. The computation of the mass-matrix can be performed exactly or by a quadrature rule. In general M has exactly the same structure as S.11a) (3.3 and 3. A non-lumped mass matrix is also known as a consistent mass matrix. As soon as Sc is also taken at the new time-level k + 1.5. denotes diﬀerentiation with respect to time.10). the matrix M reduces to a diagonal matrix. In that case one speaks of a lumped mass-matrix. (3. That means that to compute the solution at a certain time-step only information of the preceding time-step is used and not of older time-steps. In order to solve this system of equations any classical method for the solution of ordinary diﬀerential equations may be used.11c) The construction of the basis functions and the computation of the integrals is exactly the same as for the potential problem. M is the so-called mass matrix and S the stiﬀness matrix.

However.13) The most common values for θ are: θ = 0 . The implicit Euler method belongs to the class of ultra-stable methods. for the convection equation (see for example Cuvelier et al 1986).16) (M + 2 2 2 One can show that this scheme is also unconditionally stable and that the accuracy is one order higher. For such problems the classical fourth order Runge Kutta method is a good choice. (3. (3. so the only reason to restrict the time-step is because of accuracy requirements. of O(∆t2 ). where C is some constant and ∆x a local diameter of the elements. the solution implies only the inversion of a diagonal matrix. It can be easily veriﬁed that the accuracy of both the implicit and the explicit Euler time-discretization is of O(∆t). For θ = 1 (3. For θ = 0. the Euler explicit method is not longer stable and one should use either an implicit method or a higher order explicit method. 0 ≤ θ ≤ 1 . (3.13) reduces to M ck+1 = (M − ∆tS)ck + ∆tF k . This scheme does not have the damping property of Euler implicit and as a consequence once produced errors in time will always be visible. This one usually starts in these cases with one step Euler implicit. ∆t (3. In the case of a dominant convection. So the solution of the systems of ordinary diﬀerential equations is always reduced to a timestepping algorithm in combination with matrix-vector multiplications. i.14) Although it concerns an explicit method.e. 25 . This scheme can be written as ∆t ∆t k ∆t S)ck+1 = (M − S)ck + (F + F k+1 ) . Implicit Euler and θ = 1/2 . Implicit Heun or Crank Nicolson.so-called θ-method: M ck+1 − ck + θSck+1 + (1 − θ)Sck = θF k+1 + (1 − θ)F k . In that case an explicit method is relatively cheap. in the case of a lumped mass matrix. which is a purely implicit method. which means that errors in time always will be damped.13) reduces to (M + ∆tS)ck+1 = M ck + ∆tF k+1 . Explicit Euler θ = 1 . we still have to solve a system of equations.15) is required. One can show that this method is unconditionally stable. The most accurate scheme is achieved for θ = 1/2 (Crank Nicolson). For example in the case of a pure time-dependent diﬀusion problem a stability criterion of the shape ∆t ≤ C∆x2 (3. A clear disadvantage of an explicit method is that the time-step must be restricted in order to get a stable solution. and sometimes the solution of a system of linear equations.

. √2 √ 3 θ2 = θ6 = α .17) if the system of equations to be solved is linear. tn+Σ2k−2 ) + θ2k f (x. This gives a ﬁrst order method. tn+Σ2 ) + θ4 f (x. one may choose ∆tgenθ = 3 · ∆tCN to accomplish similar results for both methods.20) . θ4 = α 33 6 2 −1 .13) is equal to equation (3. The latter is a generalization of the fractional θmethod. . A common choice for the generalized θ-method is the following ‘optimum’ for k = 3: α θ1 = θ5 = . tn+Σ2 ) cn+Σ4 = cn+Σ2 + ∆t θ3 f (x. and is therefore 3 times as expensive as the Crank-Nicolson method. so we will restrict ourselves to the description of the generalized θ-method. . tn+Σ2k ) (3. However. θ2i−1 = 0 for at least one i ∈ 1. Two methods that oﬀer this opportunity are the fractional θ-method and the generalized θ-method.18) One can prove that equation (3.13) as follows. but guarantees some damping: 1. In case of a non-linear system the approximation (3. We rewrite equation ( 3. .17) is of the order ∆t2 . A clear advantage of (3.For θ = 0 it is easier to replace the θ-method (3. The generalized θ-method is a 3-stage method. tn+Σ4 ) . . = cn+Σ2k−2 + ∆t θ2k−1 f (x. 2. letting Σk = k θi : i=1 cn+Σ2 = cn + ∆t θ1 f (x. and is only a scaling requirement. tn ) + θ2 f (x. This condition includes at least one Implicit Euler step per time step. k.17) (3. A third condition is optional. k 2 i=1 θ2i−1 = k 2 i=1 θ2i to guarantee second order accuracy.13) is that the matrix to be solved is always independent of θ and that no explicit matrix-vector multiplication is required. α = 1+ √ 3 26 (3. 0 ≤ θ ≤ 1 ∆t 1 k+θ 1 − θ k c + c ck+1 = θ θ (3.17) above (3.19) There are two necessary conditions: 1. A disadvantage of the θ-method is the ﬁxed θ. It could be advantageous to combine a number of diﬀerent θ’s per time step in such a way that second order accuracy is accomplished. . Σ2k = 1 for a k-stage method. cn+Σ2k .13) by the so-called modiﬁed θ-method: M ck+θ − ck + θSck+θ = F k+θ . . and some damping is ensured as well. θ3 = 0. .

θ2 = θ6 = αθ.810−4 9.23) This problem has been solved on the square (0.310−2 3. In the linear case a subdivision in 6×6. β = 1−θ . 2 (3. y) = sin(x) sin(y) . (3. 1)× (0.22b) (3.1.010−4 7. and for the quadratic elements at least O(h3 ).1: Error in max-norm of convection-diﬀusion problem (3.410−3 2. Table 3. the accuracy strongly decreases as can be seen in Table 3. However. θ4 = β(1 − 2θ). 27 .010−3 8.010−6 5.for convection-dominant ﬂow the numerical solution is very inaccurate especially for coarse grids.22c) for various values of ε. 1 − 2θ θ .9101 4.5100 1. . Linear and quadratic triangles .910−5 Table 3.22a-3.A common choice for the fractional θ-method is the following: θ1 = θ5 = βθ.110−3 1.for relatively small convection the accuracy of the linear elements is O(h2 ).310−7 4. From this table we may draw the following conclusions: number of nodes 6×6 11 × 11 21 × 21 linear triangles ε = 10−3 ε = 10−6 3. As soon as the convection dominates.22c) c(x.410−2 quadratic triangles ε = 1 ε = 10−3 ε = 10−6 8. One easily veriﬁes that the exact solution of this problem is given by c(x. The results for quadrilaterals are comparable. α= 1−θ 1√ θ =1− 2.22a) (3. 1) using linear and quadratic elements. θ3 = α(1 − 2θ). x∈Ω (3. 11×11 respectively 21 × 21 nodes has been made. where h is some representative diameter of the elements and k is the degree of the polynomials used in the approximation per element. y) = sin(x) sin(y) .4 Accuracy aspects of the SGA One can show that the SGA in combination with the FEM yields an accuracy of O(hk+1 ).610−5 1.810−2 ε=1 3.21) 3.1 shows the maximal error for ε = 1. in the quadratic case only 11 × 11 and 21 × 21 nodes have been used. where u = x y x∈Γ and f = 2ε sin(x) sin(y) + x cos(x) sin(y) + y sin(x) cos(y) . which shows the accuracy of the following artiﬁcial mathematical example: −ε△c + u · ∇c = f .2100 6. this is only true for problems where the convection does not dominate the diﬀusion. 10−3 respectively 10−6 and triangular elements.

(3. -1/2) (0. Rotating cone problem Consider the region Ω sketched in Figure 3.. Since no boundary condition is given at the outﬂow curve ”B” implicitly the boundary condition ε is prescribed. This is achieved by setting u = . This conclusion is also motivated by the following less trivial problem.1: Deﬁnition region for rotating cone problem the inner region we suppose that the concentration satisﬁes the convection-diﬀusion equation −ε△c + u · ∇c = 0 .27) 28 .1. In (1/2. The end curve has the same co-ordinates as B but the nodal points diﬀer.the use of quadratic elements makes only sense for problems with small convection. (3. The region consists of a square with a cut B. The most important part of the conclusion is that SGA is not a good method for convectiondominant ﬂows. ∂n (3. For problems with steep gradients the conclusion may be diﬀerent.25) On the starting curve B the concentration c is set equal to 1 c|B = cos(2π(y + )) . in which cases the O(h3 ) cannot be expected anymore. At the outer boundary we use the x boundary condition c|Γ = 0 . ∂c |B = 0 . Remark: the conclusions are based on an example with a very smooth solution. which means that the solution may be diﬀerent from the starting one.0) y x (-1/2. especially for the quadratic elements.24) where ε is chosen equal to 10−6 and the velocity u is such that the ﬂow rotates counter −y clockwise. 4 (3. -1/2) B Figure 3.26) and due to the small diﬀusion one expects that the concentration at the end curve is nearly the same. 1/2) Ω (0.

. For the exact solution these should be concentration circles with levels 0. Figure 3.3 shows the lines of equal concentration.019 . The direction of the diagonals in the squares are chosen randomly. It must be remarked that the solution is relatively smooth in the case of a grid consisting of squares or triangles all pointing in the same direction.2 shows a 23 × 23 mesh consisting of triangles. the standard Galerkin method completely destroys the result. . which contains a large number of wiggles. Figure 3.Figure 3. 10.150 9 10 2 10 9 9 10 9 3 4 5 6 7 2 2 8 2 3 2 2 2 9 10 11 Figure 3.161 . 0. .009 1. .302 .726 .122 . 3 4 3 2 2 2 4 5 6 8 7 3 2 3 9 8 3 9 8 2 8 9 10 10 10 7 2 1 10 9 9 9 10 10 9 10 7 8 10 10 9 8 10 6 9 10 5 5 9 10 4 3 10 9 10 9 6 5 7 8 11 8 9 LEVELS 5 6 10 9 9 9 10 9 1 2 3 -.867 1.4 shows a 3D plot of the concentration.1.443 . 29 .585 . However.2: Triangular mesh for rotating cone problems random diagonals. Finally Figure 3.3: Equi-concentration lines for rotating cone problem computed by SGA.263 -.

Substitution of (3. the streamline upwind Petrov-Galerkin method (SUPG) is the most popular one. Starting point for SUPG is the weak formulation (3. So we are not able to compute the integral containing the p term. Actually the second derivative of c does not have to exist over the element boundaries and is certainly not integrable in the examples of elements we have given before. In ﬁnite diﬀerences this phenomenon is well known for a long time and one has tried to solve it by so-called upwind methods.5) gives: ρ Ω ∂c (v + p)dΩ + ∂t Ω {−div (A∇c) + u · ∇c + βc}(v + p)dΩ = f (v + p)dΩ . Among the various upwind techniques for the FEM. 3.5 Streamline Upwind Petrov Galerkin In the previous paragraph we have seen that the SGA method may lead to wiggles and inaccurate results for convection-dominant ﬂows. ¯ (3. which are comparable to classical ﬁnite diﬀerence upwind schemes.4: 3D plot of concentration in rotating cone problem computed by SGA. This has motivated researchers in ﬁnite elements to construct schemes. Hence after integration by parts we get Ω ρ ∂c vdΩ + {A∇c · ∇v + (u · ∇c)v + βcv}dΩ + ∂t Ω σcvdΓ Γ3 (3. However.29).28) where v is the classical test function and p denotes a correction in order to take care of the upwinding part. and the inter-element contributions are 30 . (3.30) + {ρ ∂c − div A∇c + u · ∇c + βc − f }pdΩ = ∂t Ω f vdΩ + Ω Γ2 g2 vdΓ + Γ3 g3 vdΓ .Figure 3. instead of choosing the test function in the same space as the solution a test function v is introduced according to ¯ v =v+p. which means that the ﬁrst derivative is square integrable. However. we assume that it may be discontinuous over the elements. In order to solve that problem the integral is split into a sum of integrals over the elements. As a consequence Gauss’ divergence theorem may only be applied to the v part of (3. with respect to the function p.29) Ω The function v is chosen in the same space as the solution.5). This method has ﬁrst been derived by Brooks and Hughes (1982) and is later on improved by a large number of authors.28) in (3.

it also makes the 31 .32). .. The idea for this choice is based on the fact that for a pure convection problem all information is transported from left to right and hence the discretization of the convective term should also be based upon information from the left. Figure 3. However. which itself is consistent.6 shows the result of the upwinding.01. In the classical ﬁnite diﬀerence upwind scheme one tries to get rid of these wiggles by replacing the ﬁrst derivative by a backward diﬀerence scheme provided the velocity u is positive. (3. This ﬁgure makes it clear that.5 shows an example for ∆x = 0. It has a steep gradient in the neighborhood of x = 1.5 for ε = 0. So instead of (3. ∆x2 2∆x c0 = 0 . With consistency we mean that at least the constant and ﬁrst term of the Taylor series expansion of the solution are represented exactly. 2. cn+1 = 1 . If a central diﬀerence scheme: −ε ci+1 − ci−1 ci+1 − 2ci + ci−1 +u =0. 2 Pe. At this moment the choice of the function p per element is completely free.33) The solution of (3. (3. n) .31) itself is consistent since it consists of a standard Galerkin part. and a summation of residuals of the diﬀerential equation per element multiplied by a function.1. the steeper the gradient.. A common choice for the function p is inspired by the one-dimensional stationary diﬀusion equation: dc d2 c =0. c(1) = 1 . the wiggles have been disappeared and the numerical solution has been smoothed. In fact a complete class of diﬀerent SUPG methods may be deﬁned by diﬀerent choices of p. The smaller ε.01.32) −ε 2 + u dx dx with boundary conditions c(0) = 0 .31) One can see that the approximation (3. ε (3.34) is applied with an equidistant step-size ∆x. (3.neglected. it is clear that the choice of p actually deﬁnes the type of SUPG method used. (3. u = 1 and ε = 0.33) is sketched in Figure 3. although backward diﬀerences suppress the wiggles.30) we write: ρ Ω ∂c vdΩ + ∂t {ρ Ω {A∇c · ∇v + (u · ∇c)v + βcv}dΩ + σcvdΓ Γ3 ne + k=1Ωek ∂c − div A∇c + u · ∇c + βc}pdΩ = ∂t ne f vdΩ + Ω Γ2 g2 vdΓ + Γ3 g3 vdΓ + k=1Ωek f pdΩ . (i = 1.. The size of this gradient depends on the value of ε.35) Figure 3. (3. the solution shows wiggles as long as ∆x > where the Peclet number P e is deﬁned as Pe = u .

6 .8 . solution inaccurate.0 x Figure 3.2 0.1.36) as the discretization of a 32 .0 -0.0 .2 -0.33) reads: −ε ci − ci−1 ci+1 − 2ci + ci−1 +u = 0 (i = 1.8 y -1.0 x Figure 3.2 -.6 -0..4 . (3.32). 1.8 0. cn+1 = 1 .6 0.01 and u = 1. − ◦ − numerical solution for ∆x = 0. Moreover.37) which is only of order ∆x instead of ∆x2 ..8 1.4 0. (3. The backward diﬀerence scheme for (3.6: Solution of equation (3.8 y -1.1 and backward diﬀerences.36) gives a local truncation error of − u∆x d2 c + O(∆x2 ) .6 ..8 1.6 0.0 .0 .32) for ε = 0. the second derivative appears in the truncation error.0 -.1 and central diﬀerences.4 -. which implies that in fact one may consider (3.5: Solution of equation (3.4 . n) .2 . In the literature many upwinding schemes for ﬁnite diﬀerence methods have been derived which are much more accurate than the backward diﬀerence scheme.numerical solution for ∆x = 0.0 0.4 -0.32) for ε = 0.2 0.4 0.6 -. 2 ∆x ∆x c0 = 0 . 2.01 and u = 1: — exact solution.0 0.2 .0 0. 2 dx2 (3. -+.36) Using Taylor series expansion one can show that (3. . — exact solution.

where ch is deﬁned by (3. the second derivative of the approximate solution is zero per element and hence SUPG applied to (3. If we conﬁne ourselves to linear elements.40a) 1 u∆x ¯ ξ = coth (α) − .41a) Classical upwind scheme ¯ = coth(α) − 1/α . 2 dx 33 (3. ξ 2 dx2 (3. For example the exact solution of (3.41b) Il’in scheme Double asymptotic approximation Critical approximation ¯ ξ = α/3 −3 ≤ α ≤ 3 sign(α) |α| > 3 .32). This observation motivates us to choose the function p such that an artiﬁcial diﬀusion of the form (3.40b) α 2ε ¯ ¯ Diﬀerent schemes lead to diﬀerent choices of ξ.40a) is constructed. In order to get an artiﬁcial diﬀusion of the shape (3.43) .40a) it is suﬃcient to choose ph equal to ph = ¯ hξ dvh .41c) ¯ ξ =   −1 − 1/α  The last choice is such that the amount of artiﬁcial diﬀusion is minimal in order to get a diagonally dominant matrix. which may be considered as a central diﬀerence scheme with artiﬁcial diﬀusion equal to u∆x ¯ d2 c .42) ph u {u dx dx dx dx k=1 e Ω Ω k 0   1 − 1/α α ≤ −1 −1 ≤ α ≤ 1 (3.8). c(1) = 1 . (3.convection-diﬀusion equation with a diﬀusion of ε+ u∆x . ξ (3. 2 dx dx (3. Many of the upwind schemes in 2 ﬁnite diﬀerences may be considered as a central diﬀerence scheme with artiﬁcial diﬀusion. (3.33) reduces to ne dch dvh dch dch vh + ε }dΩ + dΩ = 0 .39) c(0) = 0 . (3. In this way it may be considered as a variant of the so-called hybrid method. The term − u∆x is usually called artiﬁcial diﬀusion.38) In fact (3. (3.32) is constructed by the Il’in scheme.36) can be derived by taking the central diﬀerence scheme of the diﬀerential equation −(ε + d2 c dx2 u∆x d2 c dc ) 2 +u =0.41d) α≥1. The following values of ξ are commonly proposed: ¯ ξ = sign(α) . (3. vh represents the discretized classical test function and ph the discretization of the extra function p. α = . 2 (3.

510−4 quadratic triangles ε = 1 ε = 10−3 ε = 10−6 1. has proven to be a good choice.910−3 1.44) p= 2 u In this formula h is the local element width. Besides the accuracy asnumber of nodes 6×6 11 × 11 21 × 21 linear triangles ε = 1 ε = 10−3 ε = 10−6 6. (3. discontinuity capturing (Hughes et al 1986). which may depend on the quadrature point. . This has two important consequences: .the mass matrix is non-symmetric and may not be lumped. h in formula (3. The SUPG method diﬀers from the classical upwind methods in the sense that not only the advective term is perturbed. which may be considered to be of O(∆x2 ) for small values of ε. or for time-dependent problems (Shahib 1988).210−3 5.110−6 2.1 but now with SGA replaced by SUPG. ¯ With Taylor series expansion it can be shown that if ξ is chosen according to one of the ¯ = 1).610−3 2.010−3 4.610−5 1. For quadratic elements h equal to half the local element width.41a-3.810−4 1. Many extensions of the SUPG method have been proposed.2: Error in max-norm of convection-diﬀusion problem (3. Mizukami (1985) has extended (3.41d) (except the choice ξ O(∆x2 ) + εO(∆x). For that reason the SUPG method must be extended in such a way that the upwinding is applied in the direction of the ﬂow only. the accuracy of the scheme is possible values of (3. for example to create monotonous solutions (Rice and Schnipke 1984). That means that the solution perpendicular to the ﬂow direction is smoothed and becomes inaccurate. As a consequence iterative matrix solvers 34 .610−5 1.22c) for various values of ε Solution by SUPG. If we apply the SUPG method based upon formula (3. Brooks and Hughes (1982) have solved this problem by giving the perturbation parameter p a tensor character ¯ hξ u · ∇vh . The improvement for small values of ε and coarse grids is immediately clear.where h = ∆x. pects the SPUG method has an another important advantage. Hence explicit methods are as expensive as implicit ones. These improvements usually have a special function. This table does not clearly show the accuracy of the method in terms of orders ∆xp .010−4 5.010−5 4.210−4 5.22a -3. a typical cross-wind diﬀusion arises.the treatment of source terms is considerably better than for classical upwind techniques.310−5 Table 3.2 shows the example of Table 3.43) in 2D in each of the directions. Table 3.310−4 7. If the step size ∆x is not a constant.43) must be replaced by the step size. all based on diﬀerent choices of the function p. The use of upwind makes the matrices to be solved more diagonally dominant. but also the right-hand side and the time derivative.610−4 1. Linear and quadratic triangles.44) for triangles.

014 6 7 8 9 10 11 Figure 3. All previous pictures have been created by using a direct linear solver. Numerical computations show that upwinding has a very important eﬀect on the number of iterations necessary for reaching a certain level of accuracy.597 . also the 2 3 4 5 6 7 8 9 10 10 9 11 8 7 6 5 4 3 2 LEVELS 1 2 3 4 5 1 -.701 .492 .6. These pictures show a large qualitative improvement of the accuracy compared to SGA. Exactly the same mesh as for the central scheme is used. for large problems an iterative solver is much more attractive.7: Equi-concentration lines for rotating cone problem computed by SUPG.8: 3D plot of concentration for rotating cone problem computed by SUPG condition with respect to linear solvers.910 1.806 .6 Some classical benchmark problems for convection-diﬀusion solvers In this section we shall investigate the performance of the standard Galerkin approach as well as the streamline upwind Petrov Galerkin method for some benchmark problems.7 shows the lines of equal concentration produced by SUPG and Figure 3. Figure 3.4.will converge much faster than for SGA.388 .029 . However. The solution by SGA is plotted in Figure 3. Figure 3.179 . From this table it is clear 35 .284 .8 the corresponding three-dimensional plot.4.075 . In this table SGA and SUPG are compared for various mesh sizes. This will be demonstrated in Paragraph 3. First we consider the rotating cone problem introduced in Section 3. Finally we show some results of classical benchmark problems to investigate the behavior of various schemes. Table 3.3 shows the number of iterations required to solve the rotating cone problem for ǫ = 10−3 and ǫ = 10−6 . Not only the accuracy of the solution is enlarged considerably. 3.

SGA accuracy 10−3 15 17 31 SUPG accuracy 10−3 6 6 27 9 13 24 ǫ 10−3 10−6 number of nodes 21 × 21 41 × 41 81 × 81 21 × 21 41 × 41 81 × 81 accuracy 19 21 38 - 10−6 accuracy 10−6 9 9 32 12 17 32 Table 3.4.45) (3.002. (3.4 .in the table means that no convergence was possible. These ﬁgures show that lumping drastically decreases the accuracy of the numerical solution. Furthermore for this moderate Peclet number. A . Figures 3.3: Number of iterations by a preconditioned CGS solver for the solution of the rotating cone problem of Section 3. t) = 0 . a = 0. u = 1.11 shows the results of the various methods. SGA and SUPG.that for small values of ǫ the SUPG method is superior to SGA with respect to iterative solvers. elsewhere.2 and b = 0. 36 . a≤x≤b. (3.46) c(0. 0) c(x. As last benchmark problem we consider is a time-dependent one dimensional convectiondiﬀusion equation given by: ∂c ∂2c ∂c +u =D 2 ∂t ∂x ∂x c(x. t) = c(1.9-3. 0) = sin π x−a b−a =0 0≤x≤1. D = 0.47) This benchmark problem has been solved by SGA with and without lumping of the mass matrix and SUPG. the standard Galerkin method performs a little bit better than SUPG.

8 .10: SGA applied to (3.2 .4 .2 1. + numerical solution Figure 3.0 c -. consistent mass matrix – exact solution.9: SGA applied to (3.8 Figure 3.8 c 1.42) 40 linear elements.2 .8 .0 -.4 .40)-(3. lumped mass matrix – exact solution.4 .6 .0 .40)-(3.0 .42) 40 linear elements.0 x .2 . numerical solution 37 .6 .4 .0 x .2 1.2 .1.

+ numerical solution 38 .2 .2 1.0 .0 x .8 Figure 3.4 .0 c -.40)-(3.4 .8 .6 .2 .1.9: SUPG with stationary upwind parameter applied to (3.42). 40 linear elements: – exact solution.

f = (f1 . • The medium has a Newtonian character. the unit tensor the rate of strain tensor. u2 . and σ the stress tensor. ∂t (4. • The ﬂow is laminar. 3) .2) reads: ρ ∂ui ∂ui ∂ui ∂ui + u1 + u2 + u3 ∂t ∂x1 ∂x2 ∂x3 − ∂σi1 ∂σi2 ∂σi3 + + ∂x1 ∂x2 ∂x3 = ρ fi . (4. For a three-dimensional ﬂow ﬁeld the basic equations of ﬂuid ﬂow under the above restrictions. 2. (4.5) .2) in which u = (u1 . can be written as: The Continuity equation ∂u1 ∂u2 ∂u3 + + =0. where p I e d µ denotes the pressure.1) div u = ∂x1 ∂x2 ∂x3 The Navier-Stokes equations ρ ∂u + (u. (4.∇)u − div σ = ρf .4 4. f3 ) the body force per unit of mass. (i = 1. Component-wise (4. f2 .3) (4. • The medium properties are temperature independent and uniform. (4.4) For an incompressible and isotropic medium the stress terms σ can be written as σ = −p I + d = −p I + 2µ e . The components eij of the tensor e are deﬁned by eij = so σij = −pδij + µ 39 ∂uj ∂ui + ∂xj ∂xi .1 Discretization of the incompressible Navier-Stokes equations by standard Galerkin The basic equations of ﬂuid dynamics In this chapter we shall consider ﬂuids with the following properties: • The medium is incompressible. ρ the density of the ﬂuid. u3 )T denotes the velocity vector. the deviatoric stress tensor and the viscosity of the ﬂuid.6) 1 2 ∂uj ∂ui + ∂xj ∂xi .

10c) (4.10d) 40 . we shall prefer expression (4. it is suﬃcient to prescribe the initial velocity ﬁeld at t = 0. it is necessary to prescribe both initial and boundary conditions.2). that for incompressible ﬂows no explicit boundary conditions for the pressure must be given.2 Initial and boundary conditions In order to solve the equations (4.2) is a system of second order diﬀerential equations in space.If µ is constant it is possible to simplify the expression(4.7). In fact there is a strong relation between both.9a) (4.1) to ρ ∂u + (u .2).1).2) can be made dimensionless by the introduction of the Reynolds number Re deﬁned by ρU L Re = . (4.10a) (4. However.2). ∇)u − div σ = f ∂t 2 σ = −p I + e Re provided ρ does not depend on the space coordinates.7) however. Since only ﬁrst derivatives of time are present in (4. given. Substitution of (4. 1969). 2 3 4 un and ut and σ nt and σ nt σ nn σ nt given.2) than in (4. The continuity equation and the pressure play a very special role in the incompressible NavierStokes equations.2) because boundary conditions will be implemented more easily in (4. it is necessary to prescribe boundary conditions for each velocity component on the complete boundary of the domain.9b) 4. at high Reynolds numbers the convective terms dominate the stress tensor and as a consequence the boundary conditions at outﬂow must be such that they restrict the ﬂow as little as possible.10b) (4. The following types of boundary conditions are commonly used for the two-dimensional incompressible Navier-Stokes equations (the extension to I 3 is straight forward): R 1 u given (Dirichlet boundary condition). ∂t (4. Equation (4. (4. Of course this velocity ﬁeld must satisfy the incompressibility condition (4. (4. (4.2) by substitution of the incompressibility condition (4. given.1) Since (4.4) gives ∂u + (u . (4. Usually boundary conditions for the pressure are implicitly given by prescribing the normal stress. It can be shown (Ladyshenskaya. ∇)u − µ △ u + ∇ p = ρf .8) µ where U is some characteristic velocity and L a characteristic length.8) into (4.

At outﬂow one may prescribe the velocity.1 shows the streamlines for Re = 150. However. For a channel ﬂow. Typical inﬂow proﬁles are ut = 0. and the length of the channel after the step large enough. The agreement with the computations in the long channel is remarkably good.10b). σ nn (n·σ ·n) denotes the normal component of the stress tensor on the boundary and σ nt (n · σ · t) the tangential component. From (4. Figure 4. for convection dominated ﬂows. σ nt = 0 is a good approximation. Outﬂow boundary conditions σ nn = 0.10b).1: Streamlines in backward step. Only the part (−6H.6) it can be derived that σ nn = −p + and σ nt = 1 Re 2 ∂un . However. 6H) is plotted. where H is the step height. Re ∂n ∂un ∂ut + . So σ nn = 0 implies that implicitly p is set equal to zero. Figure 4. such a boundary condition may lead to wiggles due to inaccuracies of the boundary conditions. However. σ nn = 0. σ nn = 0. • At inﬂow the velocity proﬁle given: u = g. 41 . Vosse (1987) has shown that the boundary condition σ nt = 0. may be a good choice in numerical computations. σ nt = 0. it is impossible to deﬁne correct boundary conditions. ∂t ∂n (4.where un denotes the normal component of the velocity on the boundary and ut the tangential component. The ﬁrst one (ut = 0. The boundary condition σ nt = 0. The boundary condition ut = 0. although incorrect. Typical examples of these boundary conditions are: • At ﬁxed walls: no-slip condition u = o. In that case we use the boundary condition un = 0.2 shows the results of computations with the boundary conditions σ nt = 0. un parabolic or ut = 0 and un constant.11) (4. This is also an example of type (4. σ nn = 0 is correct for channel ﬂow. Less restrictive boundary conditions are for example ut = 0 and σ nn = 0 or σ nt = 0 and σ nn = 0. He performed some experiments in the ﬂow over a backward facing step. in which case we have a parabolic velocity proﬁle. σ nn = 0 is in general not correct. if we make the length of the channel such that the outﬂow boundary intersects the recirculation zone. ut = 0. ut = 0. in practical situations we ∂t usually do not have a channel ﬂow and it is very hard to formulate correct boundary conditions at outﬂow. This is an example of type (4. σ nn = 0) prescribes a parallel outﬂow with zero normal stress. For a free surface we have the condition that there is no ﬂow through the surface and that the tangential stress is equal to zero.12) As a consequence for high Reynolds numbers σ nn is approximately equal to −p. Length of channel is 44H. ∂un is linear and hence σ nt = 0. In this case the ﬂow at the end may be considered as a channel ﬂow and the boundary condition 7 6 1 4 2 5 3 Figure 4.

(4. In such a case the Navier-Stokes equations and the velocity vector have to be transformed to a cylindrical co-ordinate system with co-ordinates r. ∂uϕ ∂uz 1 ∂uz ∂ur + + . ϕ and z and velocity components ur . one usually tries to reduce the dimension by considering symmetry in the ﬂow or neglect ﬂow in a certain direction. There is.13a) (4. In an axisymmetric ﬂow the variation in ϕ-direction is zero and all ϕ-derivatives may be neglected. In a rotating ﬂow uϕ is not equal to zero and we have in that case three velocity unknowns.2: Streamlines in backward step.10b-4. Outﬂow boundary conditions σ nn = 0. =0. One can show that the equations (4. σϕϕ = −p + 2µ ∂r .13b) ∂uϕ ∂ruz ∂rur + + ∂r ∂ϕ ∂z σrr = −p + 2µ ∂ur . However. The incompressible Navier-Stokes equations in cylinder co-ordinates are still given by the expressions (4. the operators divergence and gradient as well as the stress tensor get a diﬀerent shape: ∇v = div u = 1 r ∂v 1 ∂v ∂v .13 12 11 10 9 8 7 6 1 4 2 5 3 7 7 Figure 4. . .1). σrϕ = σϕr = µ r ∂z ∂r + 1 ∂ur r ∂ϕ . 4.1) and (4.13c) σzz = −p + 2µ σϕz = σzϕ = µ ∂uz ∂ . Length of channel is 12H. although we have only two directions. however. (4. one exception. If we solve the stationary incompressible Navier-Stokes equations with the velocity prescribed on the complete boundary (actually each combination in which the normal velocity component is prescribed).3 Axisymmetric ﬂow Since in general three-dimensional ﬂow computations are very expensive. uϕ and uz . The last possibility results in two-dimensional ﬂow. Whether the uϕ component may be neglected depends on the ﬂow. but the pressure is ﬁxed up to an additive constant. such as channel ﬂow. ur 1 ∂uϕ + r r ∂ϕ uϕ r (4.2) with a given initial ﬂow ﬁeld and combinations of boundary conditions of type (4.2). If we use cylinder symmetry the ﬂow reduces to so-called axisymmetric ﬂow. the velocity is unique. ∂r r ∂ϕ ∂z T . σ nt = 0. σrz = σzr = µ r ∂ϕ ∂z ∂z ∂r 42 .10d) have a unique solution.

∂r uϕ = 0 at r = 0 .14) 4. x ∈ Γ2 . (4. Γ3 and Γ4 . = g6 σ 43 . σ ij = −pδij + µ un = g2 . the so-called symmetry conditions. Furthermore we shall restrict ourselves in this chapter to stationary problems.10b-4.Note that in these expressions the term 1/r frequently occurs. ut = g4 .4. we shall assume that the boundary consists of four parts each with one of the boundary conditions (4. The instationary case will be treated in Chapter 7.16g) ∂uj ∂ui + ∂xj ∂xi u = g1 for x ∈ Γ1 . (4.4 The weak formulation In the next paragraph we shall derive the standard Galerkin equation for the incompressible Navier-Stokes equations.15) ∂uz =0 . we need extra boundary conditions. σ nn nn = g5 .10d). Γ2 . σ nt (4.10b.16e) (4. x ∈ Γ4 . uϕ = 0 and σ nt = 0 at r=0. The formulation of our example is now: For x ∈ Ω solve u satisfying div u = 0 . (4. As a consequence one has to be careful in the numerical computations at r = 0. σ nt = g3 . In order to consider the four boundary conditions (4. −div σ + ρ(u · ∇ u) = ρf .10d). Furthermore we restrict ourselves for the moment to the two-dimensional case. or translated to stresses: ur = 0 .3 shows an artiﬁcial example of a region Ω with four boundaries Γ1 to Γ4 . First we shall derive the weak formulation. (4. Figure 4.16a) (4.16f) (4. Γ3 Γ2 Ω Γ4 Γ1 Figure 4. One immediately veriﬁes that these symmetry conditions are given by: ur = 0 . On each of these boundaries we have a diﬀerent type of boundary condition.3: Artiﬁcial example with region Ω and boundaries Γ1 .16b) .16d) x ∈ Γ3 . = g7 .16c) (4. At the symmetry axis r = 0.

the ﬁrst term of (4.16b) consist of two equations. v2 )T these equations can be combined to: (−div σ + ρ(u · ∇ u)) · v dΩ = f · v dΩ .22) 44 . un = g2 at Γ2 . equation (4.19). (4. If we furthermore substitute relation (4.18) can be written as: Ω −(div σ) · v dΩ = g3 vt dΓ − Ω 2µ e · ∇ v dΩ − p div v dΩ Ω − Γ2 Γ3 g5 vn dΓ − g6 vt + g7 vn dΓ .16a-4.17) The momentum equations (4.16d-4. the boundary integral over Γ is split into 4 parts Γ1 .In order to derive the weak formulation. On Γ1 we have a prescribed velocity and hence the test function v is chosen equal to zero. Γ4 (4.16b) must be multiplied by test functions. For a derivation of formula (4. If we deﬁne v = (v1 . In order to apply the boundary conditions (4.16g): Find u . p with u = g 1 at Γ1 .4) into (4.19) we refer to Appendix A.21) ρ(u · ∇ u) · v dΩ − p div v dΩ = Ω Ω 2µe · ∇ v dΩ + g3 vt dΓ + Ω g5 vn dΓ + Γ3 Γ4 g6 vt + g7 vn dΓ + Ω Γ2 ρf · v dΩ . On boundary Γ2 un is prescribed and so vn is chosen equal to zero. and on boundary Γ3 ut is prescribed and vt is set equal to zero. ut = g4 at Γ3 . such that q div u dΩ = 0 .16a) is multiplied by a test function q resulting in q div u dΩ = 0 Ω (4. vn the component of v in the normal direction and vt in the tangential direction.16g). which may be each multiplied by separate test functions v1 and v2 .16a-4. to Γ4 . Γ (4.18) may be further reduced by applying integration by parts (Gauss theorem) to (−div σ) · v dΩ = σ · ∇ v dΩ − (vn σ nn + vt σ nt )dΓ.19) Ω Ω where Γ denotes the boundary of Ω. The ﬁrst term in (4. First equation (4.18) Ω Ω Choosing v2 respectively v1 equal to zero gives us the original weak formulation for each of the equations. Ω (4. (4.20) Combinations of all these results leads to the weak formulation of the Navier-Stokes equations (4.

ﬁrst derivatives are required and hence not only u and v but also their ﬁrst derivatives must be integrable. The weak formulation (4. uj+n = u2j .5).24) uj ϕj (x) . We may combine the velocity basis functions into vector form by ϕi1 (x) = ϕi (x) 0 .for all v such that v = o at Γ1 .21) vanishes and the pressure disappears from (4. but the functions u and v must be continuous over the element boundaries. If we for example demand that both u and v are divergence free. p and q are taken from the same space and u and v are taken from the same space. This observation motivates the choice of the basis functions in the standard Galerkin method.22) shows a strong relation between u and v. In fact. For simplicity the summation has been carried out over all degrees of freedom including the prescribed ones at the boundary.25) In (4. j=1 uh = j=1 u1j ϕj1 (x) + u2j ϕj2 (x) = (4. q = Ψi (x) into the weak formulation (4. (4. 2n (4. nor that these basis functions must have the same shape. Indeed in all theoretical investigations with respect to the weak form of the Navier-Stokes equations. ϕi2 (x) = 0 ϕi (x) .22). and e given by (4. however. Hence it is suﬃcient that p and q are integrable.5 The standard Galerkin method In the standard Galerkin method we deﬁne two types of basis functions.21) and (4.21-4.22).21-4. in most practical applications ϕi (x) and Ψi (x) are chosen diﬀerently. As a consequence we do not need continuity of p and q in the Galerkin formulation.26) 45 . Ω i = 1(1)m . In this way we get: Find pn and un deﬁned by (4.25) uj is deﬁned by uj = u1j . The test functions. With respect to u and v.23) Now the approximation of u and p will be deﬁned by m ph = j=1 n pj Ψj (x) . basis function Ψi (x) corresponding to the pressure and functions ϕi (x) corresponding to the velocity components. (j = 1(1)n) and ϕj in the same way. We see that in the relations (4. must only be coupled to the free degrees of freedom. as well as between p and q. (4. 4. then the ﬁrst equation (4. Mark that the number of basis functions ϕi (x) and Ψi (x) do not have to be the same.24).25) such that Ψi div uh dΩ = 0 . In order to get the standard Galerkin formulation we substitute v = ϕi (x).(4. (j = 1(1)n).22) no derivatives of p and q are necessary. vn = 0 at Γ2 and vt = 0 at Γ3 .

LU denotes the discretization of the divergence of u and −LT P the discretization of the gradient of p.27) must be taken for all free degrees of freedom ui .28a) (4. Finally we arrive at a system of m + 2n − np non-linear equations with m + 2n − np unknowns. where np denotes the number of prescribed boundary values.26) and (4.6 Treatment of the non-linear terms In order to solve the system of non-linear equations. The non-linear iterative procedure will be the subject of Paragraph 4.and Ω 2µ (eh · ∇ ϕi )dΩ + ph div ϕi ) dΩ = Γ2 Ω ρ(uh · ∇ uh ) · ϕi dΩ g5 (ϕi · n) dΓ (4. The right-hand side F contains all contributions of the source term. Expression (4.27) may be easily evaluated as long as n or t on the boundaries Γ2 . If they are not in that direction it is necessary to transform the unknowns on the boundary locally such that they are expanded into normal and tangential direction.25).28b) does not contain the unknown pressure P .6. Γ3 and Γ4 are in the direction of the co-ordinate axis. in the same way as for the potential problem in Chapter 1. The last aspect introduces a number of extra complications which will be treated in Paragraph 4. Firstly the equations are non-linear and as a consequence some iterative solution procedure is necessary.28a-4. an iterative procedure is necessary. and m and N are deﬁned in (4.24). SU denotes the discretization of the viscous terms. N (U ) the discretization of the nonlinear convective terms.27) − Ω g3 (ϕi · t) dΓ + Γ3 + Γ4 g6 (ϕi · t) + g7 (ϕi · n) dΓ + Ω ρf · ϕi dΩ where eh is given by (4. the boundary integral as well as the contribution of the prescribed boundary conditions. (4. Once the basis functions are known. P denotes the vector of unknowns pi . the integrals (4. Formally the system of equations can be written as SU + N (U ) − LT P = F = o (4. The solution of the system of equations (4.28b) LU where U denotes the vector of unknowns u1i and u2i . The ﬁnite element method may be used to construct the basis functions ϕi and Ψi . 4.7. In general such a procedure consists of the following steps: make an initial estimation 46 . The technique of local transformations is described in Zienkiewicz and Taylor (1989). u replaced by uh i in (4.5).28b) introduces two diﬃculties. Secondly equation (4.27) may be evaluated element-wise.

(4.while (not converged) do linearize the non-linear equations based on the previous solution solve the resulting system of linear equations Examples of such methods are Newton methods. (u · ∇ u) k+1 (4.28b). Hence: (u · ∇ u)k+1 ≃ uk+1 · ∇ uk .31) (4.16a-4. To that end we deﬁne f (u.34). how to ﬁnd a good initial estimate. quasi-Newton methods. In order to derive the iterative method one may proceed in two ways. · ∇u . After linearization of the convective terms the standard Galerkin method may be applied. Neglecting the quadratic terms and substitution of (4. which means that this iteration does not 47 . if the distance between iteration and solution is too large.e. An important question with respect to these iterative methods is. First we shall derive the Newton linearization. Firstly one can apply the method to equations (4.29) are taken at the old level. Since it is the only nonlinear term in equation (4.29) gives f k+1 (u. Suppose we have computed the solution uk at a preceding iteration level k. The last approach is conceptually easier than the ﬁrst one and will therefore be applied in this paragraph.28a-4.32) (4. which is the classical approach. Newton may converge slowly or even diverge. ∇ u) = u · ∇ u . Numerical experiments have shown that from these last three possibilities only (4. resulting in a system of linear equations. We write this solution as uk .32)-(4.29) gives uk+1 · ∇ uk+1 ≈ uk · ∇ uk + uk+1 − uk · ∇ uk + ∇ uk+1 − uk = uk+1 · ∇ uk + uk · ∇ uk+1 − uk · ∇ uk .31) shows that Newton is in fact a linear combination of (4. The Picard iteration seems to have a larger convergence region. Sometimes both approaches are identical. (4. and Picard type methods. An alternative is to linearize the non-linear diﬀerential equations ﬁrst and then to discretize the resulting linear equation. quadratically) as soon as the iteration is in the neighborhood of the ﬁnal solution.34) (u · ∇ u) k+1 ≃ u k ≃ u k · ∇u k+1 k .31) forms the standard Newton linearization. ∇ uk + uk+1 − uk +∇ uk+1 − uk · ∂f k ∂u ∂f k + O uk+1 − uk · ∂∇u 2 (4.33) (4.33) produces a good convergence. ∇ u) = f k uk . It is well known that Newton’s method converges fast (i. Alternative linearization are constructed by the so-called Picard iteration methods in which one or both terms in (4.29) Taylor-series expansion of (4. · uk (4. However.30) .16g) we only consider the convective terms. ∇ u) as f (u.

However. An initial guess may be for example the solution of the Stokes problem. however.7 Necessary conditions for the elements In Paragraph 4.start with some initial guess. based upon linear elements for the velocity 48 .28a-4. In general one may expect that the iteration process no longer converges as soon as the ﬂow becomes instationary or turbulent. 4. . which is formed by the Navier-Stokes equations where the convective terms have been neglected.use Newton iteration in the next steps.35) contains more rows than unknowns and we have either a dependent or inconsistent system of equations. The continuity equation.35) LU = o. a general accepted rule is that the order of approximation of the pressure must be one lower than the order of approximation of the velocity. . In that case the solution of Navier-Stokes with a smaller Reynolds number might be a good choice.4a. However. After linearization this system can be written as SU + N (U k )U − LT P = F . whereas the pressure approximation may be discontinuous over the element boundaries. this method converges only linearly. the number of rows in this equation is completely determined by the number of pressure unknowns. So we have to demand that the number of pressure unknowns never exceeds the number of velocity unknowns.perform one step Picard iteration in order to approach the ﬁnal solution. If the Reynolds number is too high it is possible that the distance between the solution of Stokes and NavierStokes is too large. Unfortunately this rule is not suﬃcient to guarantee that the number of pressure unknowns is not larger than the number of velocity unknowns independently of the number of elements. this demand should be valid independently of the number of elements.need the same accurate initial estimate. (4. Since we want to solve the Navier-Stokes equations by ﬁnite element methods for various grid size. does contain only velocity unknowns. Consider for example the mesh in Figure 4. So if the velocity is approximated by a linear polynomial.5 it has already been pointed out that with respect to the velocity it is necessary that the approximation over the element-sides must be continuous.5 it has been derived that the standard Galerkin method results in a system of non-linear equations of the form (4. In order to satisfy this criterion. there is another problem. discretized as LU = o. where U k is the solution of the previous iteration.28b). then the pressure is approximated by a constant per element and so on. A possible strategy to converge to the ﬁnal solution is the following: . sometimes more than one step. In both cases the matrix to be solved is singular. This demand restricts the number of applicable elements considerably. In Section 4. Suppose that there are more pressure unknowns than velocity unknowns. In that case equation (4. A process in which the Reynolds number is increased gradually is called a continuation method.

Figure 4.and constant elements for the pressure. the number of velocity unknowns is equal to 16 and the number of pressure unknowns 49 .4b gives an example of an admissible element. Hence we have an example of a singular matrix. The velocity approximation is linear but not continuous over the element boundaries. Suppose we have Dirichlet boundary conditions for the velocity. However. The pressure is unique except for an additive constant. A simple count shows that for the given mesh. The velocity unknowns are not positioned in the vertices of the triangle but in the midside points. with respect to the continuity equation the element satisﬁes the demand that there must be more velocity unknowns than pressure unknowns. b) mid-points of the sides are the velocity nodal points: non-conforming element. So ﬁnally we have 2 velocity unknowns and 7 pressure unknowns. One might remark that if we add suﬃcient elements to the mesh eventually the number of velocity unknowns will be larger than the number of pressure unknowns. To ﬁx this constant one of the pressure unknowns is given. In this example the mesh contains 8 pressure nodes and 9 velocity element p=8. nodes. For convenience the constant has been coupled to the centroid of the element. The corresponding element is not admissible.4: Triangular elements with three nodal points for the velocity (x) and one nodal point for the pressure (0): a) vertices are the velocity nodal points: conforming element. L=8 Region Ω with p=8. practical computations have shown that in that case still the matrix remains singular. which means that all boundary velocities are prescribed. However. K=16. K=9. L=8 a) P: pressure nodal points K: velocity nodal points L: velocity nodal points on the outer boundary b) Figure 4. Such an element is called nonconforming and introduces for that reason extra problems with the approximation.

7. we shall use it to demonstrate how Fortin’s translation (4.6. linear polynomial.36) is satisﬁed. The quadrilateral counterpart of this triangle is given in Figure 4. As a consequence the 51 . plotting etc. div u dΩ = Ωek Ωek ˜ div u dΩ = δΩek ˜ u . One can easily verify that both approximations are continuous over the element boundaries. It is the non-conforming linear triangle with constant pressure. The Crouzeix-Raviart family These elements are characterized by a discontinuous pressure. We shall discuss some of the Crouzeix-Raviart elements. see Figure 4.37) given the continuous vector ﬁeld u.8 shows this element again. Velocity: bi-quadratic (9 nodal points: x) Pressure: bi-linear (4 nodal points: 0) Accuracy velocity: O(h 3) Accuracy pressure: O(h2 ) Figure 4.5: Taylor-Hood element (P2 − P1 ).6: Taylor-Hood element (Q2 − Q1 ) The Taylor-Hood family is very suitable for the standard Galerkin methods treated in this chapter.37) we have used the fact that the pressure is constant per element. with respect the special methods of Chapter 5 and 6. In (4. n dΓ (4. but discontinuously over the element boundary. the discontinuous pressure elements are most favorable.7.e. i. It can be shown. However. For output purposes (printing.x3 Velocity: quadratic (6 nodal points: x) Pressure: linear (3 nodal points: 0) x5 x4 Accuracy velocity: O(h 3) Accuracy pressure: O(h 2) x1 x6 x2 Figure 4.) these discontinuous pressures are averaged in vertices for all the adjoining elements. Although this element has no practical signiﬁcance. Figure 4. The most simple Crouzeix-Raviart element has already been mentioned in Section 4. discontinuous on element boundaries. For that reason we consider some of these elements. Segal (1979). that this element is admissible if at least 3 elements are used.36) of the BB condition can be checked. ˜ To that end we explicitly create a vector u such that (4.

pk pk xk pk pk pk

Figure 4.7: Averaging in each nodal point xk over all elements containing xk in order to get a continuous pressure for Crouzeix-Raviart elements.
Velocity: linear (3 nodal points: x) Pressure: Constant (1 nodal points: 0) Γ2 Γ1 Accuracy velocity: O(h 2) Accuracy pressure: O(h)

Γ3

Figure 4.8: Crouzeix-Raviart element (p1 − p0 ) basis functions Ψi (x) are deﬁned by Ψi (x) = 1 in element ei , 0 in all other elements . (4.38)

˜ If we deﬁne u in the midside point of element ei by u dΓ =
Γk Γk

˜ u dΓ = |Γk | uk ,

(4.39)

with Γk the k-th side of ei , |Γk | the length of Γk and uk the velocity in the midside point of ˜ side Γk , we see immediately that (4.37) is satisﬁed. (4.39) implicitly deﬁnes u. The deﬁnition is unique and does not introduce inconsistencies along adjacent elements since (4.39) is deﬁned along one side of the elements only. The natural extension of the linear-constant element is the quadratic velocity, linear pressure element. The discontinuous linear pressure is deﬁned by three parameters, for example the pressure and the gradient of the pressure in the centroid. Application of the counting mechanism demonstrated in Section 4.7 shows that this element cannot be admissible. In order to make it admissible it is necessary to introduce the velocity vector in the centroid as extra unknowns. In this way we get the so-called extended quadratic triangle of Figure 4.9. The basis function for this element can be expressed in terms of the linear basis functions

52

x3 Velocity: enriched quadratic (7 nodal points: x) x5 x7 x4 Pressure: linear (1 nodal point: 0 including 2 derivatives) Accuracy velocity: O(h 3) x1 x6 x2 Accuracy pressure: O(h 2)

+ Figure 4.9: Crouzeix-Raviart element (P2 − P1 )

Ψi (x) for triangles, deﬁned in Chapter 2:
7

˜ ui =
j=1

uij φj ,

with φj

φ7 = 27λ1 λ2 λ3 , ∂p and p = p7 Ψ1 + ˜ ∂x1 with Ψ1 = 1, Ψ 3 = x2 − Ψ 2 = x1 − x7 , 1 x7 . 2

φ4 = 4λ2 λ3 − 12λ1 λ2 λ3 , ϕ5 = 4λ1 λ3 − 12λ1 λ2 λ3 , φ6 = 4λ1 λ2 − 12λ1 λ3 λ3 , x7 Ψ 2 + ∂p x7 Ψ 3 , ∂x2

= λj (2λj − 1) + 3λ1 λ2 λ3 , j = 1, 2, 3,

(4.40)

(4.41)

The natural quadrilateral extension of this triangle is given in Figure 4.10.
Velocity: bi-quadratic (9 nodal points: x) Pressure: linear (1 nodal point: 0, including 2 derivatives) Accuracy velocity: Accuracy pressure: O(h 3) O(h 2)

Figure 4.10: Crouzeix-Raviart quadrilateral (Q2 − P1 )

4.9

Solution of the system of linear equations due to the discretization of Navier-Stokes

In Sections 4.5 and 4.6 the discretization of Navier-Stokes equations has been derived. It has been shown that in each step of the non-linear iteration process it is necessary to solve a system of linear equations of the shape Su − Lt p = F , 53 (4.42a)

Lu = 0.

(4.42b)

Here Su denotes the discretization of both the viscous terms and the linearized convective terms. If the unknowns are numbered in the sequence: ﬁrst all velocity unknowns and then all pressure unknowns it is clear that the system of equations gets the shape as sketched in Figure 4.11 provided an optimal nodal point numbering is applied. Unfortunately this numbering (velocity ﬁrst, pressure last) is far from optimal. The total proﬁle is still very large.

velocity

pressure

Figure 4.11: Proﬁle of the large matrix. A much smaller proﬁle may be achieved if pressure and velocity unknowns are intermixed. Figure 4.12 shows a typical example of such a numbering.

a
6 7 8 9 10

1

2

3

4

5

b Degrees of freedom: u 11 , u 12, u 13 , . . . ; u 21 , u 22 , u 23 ., . .
p1 , p 3 , . . .

c Degrees of freedom: u 11 , u 12, p 1 , u 12 , u 22 , u 13 , u 23 , p 3 , . . .
Figure 4.12: Renumbering of unknowns: a the region Ω, b sequence of unknowns componentwise, c sequence of unknowns nodal point wise. The resulting system of equations has a much smaller proﬁle than the one for the original system of equations. Due to renumbering, however, it is possible that the ﬁrst diagonal elements of the matrix are equal to zero. This is for example the case in Figure 4.12 where, 54

because of the boundary conditions, the ﬁrst degrees of freedom are pressures, which do not appear in the continuity equation. In order to prevent zeros on the main diagonal, partial pivoting must be applied. Unfortunately, partial pivoting reorders the sequence of the equations and increases the proﬁle or band width. Therefore a large amount of extra computing time and computer memory is required. However, it still remains cheaper than application of the numbering of Figure 4.12b. It is possible to deﬁne a numbering which produces a nearly optimal proﬁle and prevents the appearance of zeros at the start of the main diagonal. Such a numbering, however, goes beyond the scope of this lecture. Another problem arising from the zeros at the main diagonal is that it is not simple to use iterative methods for the solution of the systems of linear equations. In Chapters 5 and 6 we shall derive some alternative solution techniques in which the computation of pressure and velocity are segregated and as a consequence partial pivoting is not longer necessary.

55

1a) resulting in an equation for the velocity: 1 (5. The perturbation (5. in the literature several other possibilities have been proposed.9a) by neglecting the time-derivative and the convective terms. An obvious choice is εp + div u = o .9b).3.5) and afterwards compute the pressure directly from (5. The pressure p can be eliminated from (5.2) The pressure p is unique up to an additive constant. Re div u = 0 . (5.1b) by a small term containing the pressure.3) makes only sense if the solution of (5. Both approaches will be treated separately in the Sections 5. It is a simple mathematical exercise to show that this is indeed the case. or one may discretize the formulation (5.5 5.1 The penalty function method Introduction In Chapter 4 the discretization of the Navier-Stokes equations has been derived.1a) follows from (4. ε 1 1 − ∆u − ∇(div u) = f . The idea of the penalty method is to perturb the continuity equation (5. One may ﬁrst discretize the Stokes equations and then apply the penalty function method. (5.3) however. For the sake of the argument we restrict ourselves to homogeneous Dirichlet boundary conditions: u = 0 x ∈ ∂Ω (5. For the sake of simplicity we shall restrict ourselves to the stationary Stokes equations.5). In this chapter we shall discuss a method which tries to solve this problem by segregating computation of velocity and pressure. substitution of (4. (5.9b) and the incompressibility condition in (4.9a-4.5) Re ε So one can ﬁrst solve the velocity from (5.1a) (5.4). (5.4). the extension to the instationary and to the non-linear case is straightforward. 56 . It has been shown that the direct solution of the resulting system of linear equations introduces extra complications due to the absence of the pressure in the incompressibility constraint.3) and substituted into (5.5) approaches the solution of (5. Consider the stationary linear Stokes equation in dimensionless form: − 1 ∆u + ∇p = f .4).1b) for ε approaching zero.1a-5.1b) (5. (5. The discretization of the penalty function method may be applied in two ways.2 and 5.4) p = − div u . See for example Cuvelier et al (1986) for the details. Such an approach will be called segregated approach.

42b): Su − LT p = F . One can easily verify that these small matrices have the size of the number of pressure unknowns per element. So we start with the formulation (4. j) = Ω ψi ψj dΩ . p it would be very nice if this matrix could be build per element by element matrices. If we want to solve (5. 5.11) is as simple as p the solution of Su = F . This is for example the case if M p is a lumped mass matrix. j) = 0 if ψi and ψj correspond to diﬀerent elements. For simplicity 57 . it is necessary that the matrix M −1 can be computed p easily. it can be shown that the solution of (5.1b) is equivalent to the constrained minimization problem: 1 1 |∇u|2 − u · f dΩ .9) (5. In the discontinuous pressure elements. Moreover. in the Crouzeix-Raviart family inversion of M p is quite simple.7a) (5.8) Hence εM p p + Lu = 0 . In exactly the same way as for the continuous equation. p ε (5. One can immediately verify that for the Taylor-Hood elements this is not the case.10) Substitution of (5. One can show (see Chapter 6) that (5.11) So u is computed from (5.11) and afterwards p is computed from (5. So for the Taylor-Hood family the matrix M p is lumped.Remark: the origin of the penalty method is motivated by the theory of optimization with constraints. Lu = 0 . where M p is the so-called pressure mass matrix.10).11). Consider for example the simple triangular mesh in Figure 5.7a-5.6) Ω for all functions u satisfying divu = 0. (5.7a) gives (5. In that case the structures of S and LT M −1 L are identical and the solution of (5. M p is in a block diagonal matrix.2 The discrete penalty functions approach In the discrete penalty function method.10). Another practical aspect is that the building of the matrix LT M −1 L must be easy. a diagonal matrix consisting of small matrices as diagonal elements.42a-4.10).10) in (5. or 1 p = − M −1 Lu . since M p (i.7b).11) approaches the solution of (5.1. i. deﬁned by M p (i. (5. 2 Re (5.7b) The continuity equation is perturbed by a term εM p p.e. (5.1a-5. the (Navier-)stokes equations are discretized before applying the penalty function method. (5. ε p 1 (S + LT M −1 L)u = F .

This makes the implementation of the penalty function method relatively easy.4. LT L(5. 5) and L(4. and then to discretize the equations.3 The continuous penalty function method The penalty function method as introduced in Section 5. From chapter 2 it is clear that S (5. From Chapter 2 it is clear that in the momentum equation for unknowns in point 5 only the vertex unknowns in the points 1. 5.4). k since for example L(4. For the sake of the argument we shall restrict ourselves to Dirichlet boundary conditions for the velocity. Application of the standard Galerkin method to equation (5. because of the discontinuity of the pressure approximation. 5)L(k. 6. since ﬁrst the equations are discretized and then the pressure is eliminated. j) . 5. 7) is equal to zero. 8 and 9 are present not those of the points 3 and 7. As −1 a consequence the matrix LT M p L may be split into a sum over element matrices and T −1 L M p L may be evaluated at element level. 2. since node 5 and node 7 do not belong to the same element. j) = k L(k. (5.5). In the case of a Crouzeix-Raviart element L(i. In fact each matrix element is in that case a 2 × 2 matrix itself. only the vertices of the triangles have been numbered. i)L(k. (5. 7) = L(k. If we furthermore simplify the matrix M p to a unity matrix. 7) are unequal to zero. j) is only non-zero as long as point i and pointj belong to the same element.2 will be called discrete penalty function method. Conceptually it is much easier to start with the penalty function formulation (5. So LT L has a larger bandwidth or proﬁle than S. However. j) = k LT (i.12) Let us for the sake of the argument identify the matrix elements with the vertex numbers. 4. we can −1 compute the elements of LT M p L relatively simple by: LT L(i. The midside points are present but are not shown.7 8 9 4 5 6 1 2 3 Figure 5. Before we consider some practical remarks concerning the penalty method in Section 5. 7) is in general unequal to zero. we shall ﬁrst analyze the so-called continuous penalty function method.5) gives component- 58 .1: Triangular mesh with quadratic Taylor-Hood triangles. k)L(k.

16) (5. (5.11) we let ε approach zero. .wise: Ω { 1 1 ∂ϕi ∇(uh )k · ∇ϕi + div uh }dΩ = Re ε ∂xk i = 1. fk ϕi dΩ . however. show that the velocity behaves rather good. Although the penalty function formulation does not give rise to singular systems of equations. These wiggles are generally known as spurious modes or checkerboard modes for the pressure. p and it is easy to show that also Lu → 0 . The ﬁltering technique may produce nice results.18) for all basis functions ϕi .. or the penalty matrix is computed with a so-called reduced integration technique (Malhus et al 1978). 2.15) (5. it is immediately clear that LT M −1 Lu → 0 . In matrix vector notation (5. Now consider the quadratic Taylor-Hood element. n.13) where (uh )k denotes the k-th component of uh and fk the k-th component of f ... actually the term div uh div ϕi dΩ is approximated by an inaccurate quadrature rule. where div ϕi plays the role of the basis function ψi .18) is equivalent to (4. k = 1. computations with this approach. ε (5.13) shows that (5.18) div ϕi is a linear discontinuous polynomial.14) has a disadvantage which is not present in (5. still one can expect some troubles with elements which in the limit approach non-admissible elements. In the literature non-admissible elements are frequently used.14) is that it is no longer necessary to compute the ma−1 trix LT Mp L and as a consequence Taylor-Hood elements are as simple as Crouzeix-Raviart elements.13) can be written as 1 Su + Au = F . This is comparable to approximating div ϕi by 59 Ω .14) A clear advantage of the formulation (5. Indeed. however. With the reduced integration technique. or div un div ϕi dΩ = 0 . From Section 4. this technique is not so easy at non-rectangular grids.8. Ω (5. If in (5. we know that such an element is not admissible.11). So relation (5. Ω (5. 2. a closer examination of (5. but that the pressure produce unrealistic wiggles (Sani et al 1981).26).14) it follows that ε → 0 implies Au → 0 . From (5. To suppress the wiggles one either uses some ﬁltering (smoothing) of the computed pressure.18) is comparable to the discretization of the continuity equation for a quadratic Crouzeix-Raviart element with linear pressure. In equation (5. However.17) (5. 3.

As a rule of the thumb one may choose ε such that εp ≈ k u . The fact that we have to choose ε carefully is a clear disadvantage. As a consequence the rank of the 2n × 2n matrix LT L can also not exceed m or m − 1. From the discussion given above it is clear that the discrete penalty function approach is superior above the continuous penalty method. It is well known that this matrix is good conditioned and has nice properties for many kinds of solvers. depending on the type of boundary conditions. This statement is based on a 64 bits accuracy for the computations. direct linear solvers become so expensive that it is practically 60 . Especially for very viscous ﬂow. it is possible to use penalty function type methods in combination with iterative linear solvers. i.19) where k is some value between O(10−3 ) and O(10−9 ).4 Practical aspects of the penalty function method In the previous sections the continuous and discrete penalty function method have been derived. The reason is that it is a rather simple and fast method. It is nearly impossible to solve the matrix with standard iterative techniques. which for example appear in non-newtonian ﬂuids. Only if we enlarge the value of ε and use some outer iterative procedure. In the remainder of this lecture we shall restrict ourselves to this discrete form. The matrix S p ε corresponds to the discretization of a vector Laplacian equation (in the case of Stokes ﬂow) or a convection-diﬀusion type vector equation (Navier-Stokes ﬂow). double precision arithmetic on a 32 . a good choice for ε may be hard to ﬁnd. Indeed practical computations show such a behavior. there is one draw back with respect to the penalty function formulation. It is clear that ε must be so small that the computed velocity and pressure approximates the actual solution accurately. beyond the scope of this lecture. Only for large three-dimensional problems. The matrix L is a m × 2n matrix. which is however.11). This penalty matrix is multiplied by a large number 1/ε and added to a non-singular matrix. In fact we add the matrix 1 LT M −1 L to the matrix S in (5. It has been shown that the discrete penalty function method. applied to admissible elements is the most recommendable. As a consequence ε may not be chosen too small since otherwise the condition of the resulting matrix is so bad that an accurate numerical solution is not longer possible. The relative large condition number has also another disadvantage. The segregation of pressure and velocity gives a large reduction in computing time compared to the direct solution of the original equations.a lower degree polynomial. However. It is very natural to assume that the resulting matrix has a condition number which is proportional to 1/ε. provided the number of unknowns are not too large. As a consequence the penalty matrix is a singular matrix with a large number p of dependent rows. 5. still this method is very popular. The maximal rank of L is m or m − 1. Despite the clear disadvantages of the penalty function method.e.bits computer. leading to an admissible but less accurate element. where in general m ≪ n. As a consequence the actual pressure approximation is reduced. The same is true for the matrix LT M −1 L. A well known outer iterative procedure is the so-called Uzawa scheme (Cuvelier et al 1986). (5. What remains is the choice of the parameter ε.

In the next chapter we shall derive an alternative segregated method to solve the incompressible Navier-Stokes equations. 61 . the so-called solenoidal approach.nearly impossible to apply this method.

42b). In the penalty function method we have solved this problem by segregating pressure and velocity. If we construct a basis ϕi in the space of approximately divergence-free vector ﬁelds satisfying (6.1a) is satisﬁed automatically and.1b) Except with respect to the essential boundary conditions.1 Divergence-free elements Introduction In Chapter 4 we have treated the standard Galerkin approach. It has been shown that this method may be applied. provided an admissible element is used.21-4. (4. (6. (6. Ω Ω (6. If for the sake of simplicity we neglect both the convective terms and all boundary integrals. Unfortunately it is very hard to ﬁnd functions which are completely divergence-free.2) If both our test functions and the solution u satisfy (6. In other words an equation in the velocity alone remains. So if we restrict this space to all divergence-free vector ﬁelds.3) Re Ω Ω which is again an equation for the velocity alone. moreover. for all v . As a consequence the solution of the equations introduces extra diﬃculties.2).22). and which does not lead to ill conditioned systems of equations.1a) is satisﬁed and (6. then it is immediately clear that (6. u and v are chosen in the same space. However.1a) Ω 1 ∇u · ∇vdΩ − Re p div vdΩ = Ω Ω f · vdΩ .2).1b) shows that it is not necessary to demand div u = 0. Especially for very viscous (non-newtonian ﬂuids) this may be a problem.42a-4.21-4.4a) 62 . Ω (6.22) can be written as: q div udΩ = 0 . (6. (6.6 6. thus reducing the number of unknowns as well as avoiding the zeros at the main diagonal. but that it is suﬃcient to weaken this statement to q div vdΩ = 0 for all q . A clear disadvantage of the Galerkin method is the unavailability of the pressure in the continuity equation.3) can be written as: n uh = j=1 uj ϕj (x) . (6. and as a consequence the presence of zeros on the main diagonal of the equations (4. The only problem with this method is that it is sometimes diﬃcult to get a good of choice of the small parameter ε and the bad condition of the remaining system of equations. formulation (6.1a-6. substitute the continuity equation in the stress tensor and use the dimensionless form. p div vdΩ vanishes. To that end we consider the weak formulation (4. In this chapter we shall derive an alternative segregated approach in which it is not necessary to choose some parameter.1b) reduced to 1 ∇u · ∇vdΩ = f · vdΩ.

2).4b) The extension to the non-linear Navier-Stokes equations.9. In fact we shall derive these basis functions for the extended quadratic triangle of Figure 4. have vector components.8) Γej where Γej is the boundary of the triangle ej .25) these 63 . and may be solved quite R easily. the extension to quadrilaterals is straightforward. In each triangle we have 6 unknown velocities corresponding to the three midside points. We refer to Cuvelier et al (1986) for a derivation. In Section 6.40). But in order to get some insight in the problems associated with this derivation we shall ﬁrst consider the non-conforming linear triangle with constant pressure given in Figure 4.2) can be written as Ψi div uh dΩ = 0 for all pressure basis functions Ψi .2 we shall show the construction of such basis functions for one speciﬁc element. the general form of stress tensor and non-vanishing boundary integrals is trivial. (6. In all previous examples (compare with 4.7) Ωej for all elements ej . In general (6.5) In other words we have to construct basis functions ϕi such that Ψj div ϕi dΩ = 0 . In order to ﬁnd these linear combinations we recall that for the non-conforming element.6) reduces to div ϕi dΩ = 0 . with the basis functions given in (4. how to construct basis functions that are divergence-free in the sense of (6.8. (6. since Ψj is one in element ej and zero outside the element.7) gives ϕi · ndΓ = 0 . 6. Ω (6. i = 1(1)n . (6. how to construct such functions for Taylor-Hood elements is not known at this moment. Ω (6.4b) is of double Laplacian type (in I 2 ).6).2) for twodimensional elements.23).6) One may expect that the basis functions ϕi (x) satisfying (6. (6. for all Ψj . The system of equations (6. so these will be linear combinations of the classical basis functions deﬁned by (4. which are both nonzero.2 The construction of divergence-free basis functions for 2D elements In this section we shall construct divergence-free basis functions in the sense of (6. The construction of divergence-free basis functions is relatively simple for elements of the Crouzeix-Raviart type. Application of the Gauss-divergence theorem to (6. For simplicity we shall restrict ourselves to triangular elements. The only problem is of course. The extension to I 3 is quite complicated and introduces a number R of extra problems.n uj j=1 Ω 1 ∇ϕj · ∇ϕi dΩ = Re Ω f · ϕi dΩ .

(6. Now uh · ndΓ (6.12) Γk deﬁnes the amount of ﬂow through side Γk . since ϕk (x) = 1 on the edge containing node k and linear from -1 to 1 at the other sides. (6. ϕkn (x) and ϕkt (x) are deﬁned by ϕkn (x) = ϕk (x)nk .10) where unk respectively utk denote the normal and tangential component of u in node k.4. In this element the velocity u is approximated by x3 n Γ2 x5 x4 Γ1 x5 Γ2 t x3 x1 x6 Γ3 x2 x1 Figure 6. The other set of basis functions must be constructed such that (6. (6. on the other edges n is constant and the integral over ϕk (x) vanishes because of the linearity.velocity components were in fact the Cartesian components. Normal and tangential unity vectors on Γ2 are indicated. ϕkt (x) = ϕk (x)tk .13) u=( ∂y ∂x 64 .11b) Here ϕk (x) denotes the scalar basis function corresponding to point k and nk and tk the normal respectively tangential vector corresponding to the edge on which node k is positioned. for our purposes it is better to decompose the velocity in a tangential and a normal component along the boundary of the triangle. On the edge containing node k we have nk ·tk = 0. See Figure 6. (6.8) is satisﬁed.8) exactly.4.− ).1: Element e.6 unk ϕkn (x) + utk ϕkt (x) .11a) (6. The basis functions ϕkt (x) satisfy (6. However. with boundary Γ2 separately plotted.1 for a deﬁnition.9) which can be written as uh = k=2.6 u1k ϕk1 (x) + u2k ϕk2 (x) . uh = k=2. For an incompressible ﬂow one can deﬁne a stream function Ψ by ∂Ψ ∂Ψ . So one set of divergence-free basis functions is formed by the set of basis functions corresponding to the tangential components.

2) or (6. (6. (6. 3) is given by ϕkΨ = 1 Lk+1 ϕ2(k+2)n − 1 Lk+2 ϕ2k (cyclic) .6 utk ϕkt (x) + ( +( 1 1 ϕ6n − ϕ )Ψ1 L2 L3 2n (6.2: Amount of ﬂow between points 1 and 2 is given by Γ u · ndΓ = Ψ2 − Ψ1 the vertices by Ψk+1 − Ψk = Γk+2 uh · ndΓ .4. Moreover.17) One easily veriﬁes that these functions satisfy (6. L1 L2 L3 (6. From (6. See Figure 6. the stream function Ψ can be computed in each vertex. it follows immediately that un2 = Ψ3 − Ψ2 Ψ1 − Ψ3 Ψ2 − Ψ1 .10) gives uh = k=2. 2. It is clear that deﬁnition (6.8) is satisﬁed exactly. since in (6. given a divergence-free vector ﬁeld in the sense of (6.An important property of the stream function is that the diﬀerence between the values of the stream function in two points deﬁnes the amount of ﬂow between these two points. k = 1.14) is unique for the complete mesh. denoted by ϕkΨ (k = 1.5). so the deﬁnition in contiguous elements is the same. Using the fact that the basis function ϕk (x) is equal to 1 along the edge corresponding to node k.15) into (6.8).14) only values on one element side are used.14) where a cyclic permutation with the numbers 1.16) 1 1 1 1 ϕ2n − ϕ4n )Ψ2 + ( ϕ4n − ϕ )Ψ3 .14) does not introduce any contradictions. L3 L1 L1 L2 6n In other words. provided it is ﬁxed in an arbitrary vertex. 2 and 3 is used. So it is quite natural to deﬁne a discrete stream function in Γ 2 Ψ2 1 Ψ1 u Figure 6. 3 . 2. 65 . this stream function Ψ is constructed such that (6. un6 = . Furthermore. Substitution of (6. the second set of basis functions.15) where Lk denotes the length of side Γk . un4 = . Deﬁnition (6.2 for an explanation.14) we can express the normal component on the mid side points into the values of the stream function on the vertices.

iii ϕΨj = 0 at the mid-side node opposite to vertex j. The global node numbering is plotted. The computation of the pressure is postponed to Section 6.the ﬁrst set of basis functions is formed by the basis functions corresponding to the tangential components . The sign is opposite for these two points.3. It must be remarked that in order to get a unique deﬁnition of normal and tangential components. The basis functions corresponding to the stream function unknowns from the second set of basis functions. The basis functions ϕkt and ϕkΨ are characterized by the following properties: i The components of ϕkt and ϕkΨ are linear in x and y per element.deﬁne basis functions corresponding to normal components and tangential components at mid side points . ii ϕtj = 0 at the midside nodes not equal to j.This completes the construction of the 6 basis functions that are divergence-free. Now we have seen how the 6 e2 e1 3 1 t n 8 Figure 6. ϕtj is equal to the unit tangential vector in midside node j. See Figure 6.4b) gives a system of linear equations in the unknowns utk and Ψk . the procedure to construct divergence-free basis functions consists of the following steps: . 66 .Introduce stream function unknowns at the vertices and eliminate the normal components of the velocity at mid-side points by expressing them in the stream function unknowns. ϕΨj is equal to plus or minus the unit normal vector divided by the length of the side. it is necessary to deﬁne the normal and tangential vector in the same way in adjacent elements.3: Deﬁnition of normal and tangential vector at side 1-6 for elements e1 and e2 . A possible unique deﬁnition is to choose the tangential vector from smallest node number to highest node number and deﬁning the corresponding normal vector in the clockwise direction. Substitution of these basis functions into the weak formulation (6. In conclusion.5. in the two mid-side points of the sides containing the vertex j.

divergence-free basis functions may be derived for the non-conforming triangle.19) The functions Φ1i and Φ2i are adapted basis functions because of the elimination of the centroid degrees of freedom.18b) uh in the centroid can be expressed in terms of the velocity components in the remaining points of the element. It can be shown that the thus constructed basis functions are divergence-free. where the centroid is denoted by x7 . In the next section we shall treat how the element matrices and vectors corresponding to the (approximate) divergence-free basis functions may be computed.4b). we shall apply the same procedure for the more complex extended quadratic triangle with linear pressure.18a) (6.3. the stream function in the vertices is introduced as new unknowns and the velocity components in the midside points are eliminated using relation (6. 67 . We write the approximation uh in the following form per triangle 3 6 uh = i=1 {u1i Φ1i + u2i Φ2i } + i=4 {uni Φni + uti Φti } . Once the velocity components in the centroid have been eliminated. So in fact both the pressure gradient and the velocity in the centroid have been eliminated. The practical procedure will be treated in Section 6. without actually creating these basis functions.18b) is a regular system of equations for u7 (see for example Cuvelier et al 1986). This process is also known as static condensation. The corresponding element matrices and vectors may be constructed by explicit substitution of the divergence-free basis functions constructed in Section 6.1b) gives an expression for the gradient of the pressure in terms of the velocity unknowns at the boundary.18b) e (x − x7 ) div uh dΩ = 0 . The velocity components in the midside points are split in normal and tangential components in exactly the same way as for the non-conforming element.3 The construction of element matrices and vectors for (approximate) divergence-free basis functions The Galerkin equations for the Stokes equations using divergence-free basis functions are given in (6. 6. From (6. six in the vertices and six in the mid side points. Substitution of the basis functions ϕ17 (x) and ϕ27 (x) per element into (6.5) gives div uh dΩ = 0 . Also in Cuvelier et al (1986) it is shown that this expression is never singular. twelve velocity components remain. It can be easily shown that (6. For this element again. Substitution of the pressure basis functions given in (4.14).40) into (6.2. The ﬁrst step in the construction of the divergence-free basis functions is the elimination of the velocity in the centroid points of the elements and as a consequence the gradient of the pressure in these points. e (6. (6.

42a-4. To perform step 1 we start with the system of linear equations (4. Let us demonstrate this process for the extended quadratic triangle. (6. p= ˆ p p∇ . (6.20a-6. 22 in other words ˆ u = Rz u .23) (6.28) by RT and use (6.22c): ˆ uz = −L−1 L21 u . with Rz = From (6.22c) (6. We shall execute the algorithm in two steps. an alternative possibility is to start with the original set of equations (4.27) using the classical basis functions and then to perform the elimination process. u z z 1ˆ z (6. (6.21) If we split equations (6. In the second step the normal components of the velocity at mid-side points are eliminated.29) 68 .27) and hence also RT L2 = 0 .20a) (6. In the same way the pressure p will be split into a part p∇ corresponding to ˆ the gradient of the pressure in the centroid and a part p corresponding to the values of p in the centroids.22b) (6.26) (6.42b): Su − LT p = F .24) I R0 = I −L−1 L21 22 .22a) (6.22a) gives: T ˆ ˆ ˆ S 1 u + S 2 R0 u − L1 p − LT p∇ = 0 . 2 (6.20b) according to (6.25) we get −1 L2 Rz = L21 I + L22 R0 = L21 − L22 L22 L21 = 0 .However. Hence we deﬁne u= ˆ u uz . (4. In the ﬁrst step the centroid velocity components and the gradient of the pressure are eliminated. ˆ L2 u = L21 u + L22 uz = 0 .26).20b) The velocity u will be split into a part corresponding to the centroid (uz ) and the rest of the u velocities (ˆ ).28) If we premultiply (6.21) we get ˆ S 1 u + S 2 uz − LT p∇ = F . The elimination of the velocity components in the centroid follows from (6. 2ˆ ˆ L1 u = L11 u + L12 uz = 0 . Lu = 0 . z Substitution of (6. (6.27) we get: z T (RT S 1 + RT S 2 R0 )ˆ − Rz LT p = RT F .24) into (6.25) (6.

Next the stream function has been introduced as 69 . So we have shown that it is not necessary to construct the divergence-free basis functions explicitly. These questions will be the subject of Section 6.32b) (6.33) where ud is the vector of new unknowns. It is suﬃcient to construct the transformation matrices Rz and Rd per element and to compute the ﬁnal element matrix and element right-hand side by matrix-matrix respectively matrix-vector multiplications. L ˆ F = RT F .31a) (6. The transformation is such that the continuity equation is satisﬁed exactly in other words ˆ LRd = 0 . which type of boundary conditions must be prescribed to the new unknowns.4. (6.35) (6. ˆu Lˆ = 0 . z z ˆ = L1 R z . (6. it was necessary to introduce new unknowns. side vector F The next step is the elimination of the normal components in the midside points in favor of the stream function at the vertices. First of all the velocity has been decomposed into normal and tangential part.34) in (6.22b) can be written as ˆ L1 u = L1 R z u = 0 . z (6.and (6. since in general boundary conditions are formulated in tangential and normal direction and not in Cartesian directions.30) (6. d d Again the matrix and vector can be constructed at elements level.34) 6.4 Boundary conditions with respect to the divergence-free elements In the construction of the divergence-free elements treated in the preceding sections. With respect to the boundary conditions this does not introduce extra problems.32c) ˆ ˆ Due to the discontinuous character of the pressure. The question that remains is of course: is this new system of equations uniquely solvable? Furthermore. with ˆ S = RT S 1 + RT S 2 R0 .31b) and premultiplication by RT gives d ˆ ˆ RT SRd ud = RT F . the matrices S and L and the right-hand ˆ may be computed at element level.32a) (6.31b) (6. We have constructed a new set of equations with new unknowns.31a-6. This elimination process can be expressed by a matrix Rd according to ˆ u = Rd ud . In other words the result of the elimination process is ˆ ˆ ˆT ˆ ˆ Su − L p = F . Substitution of (6.

5 Computation of the pressure Once the velocity is known. three ﬁxed walls with no-slip boundary condition (boundaries ii. In this Figure we have one inﬂow with prescribed velocity ﬁeld (boundary i). it is necessary to prescribe the stream function in at least one point. it is not automatically possible to compute the stream function along that part. implying un = 0. On the boundary iv we have the boundary condition Ψ equals unknown constant 6. Let us ﬁrst restrict ourselves to the non-conforming triangle. .4: Example of a region with two outﬂow parts. 2. If the stream function at the common point of sides i and vi is set equal to zero then Ψ along sides i. We return to the weak formulation (6.1b). Hence Ψ is constant at side iv but the value is unknown. Substitution of these basis functions in (6.14).. For a practical implementation of such a boundary condition the reader is referred to Cuvelier at al (1986). An obvious choice is to use the basis functions ϕnh corresponding to the normal components of the velocity. k = 1.. Re 70 (6. since the normal component at these sides is not prescribed.36) Ω Since uh is known. The stream function value at sides iii and v does not have to be prescribed. This is best demonstrated with the conﬁguration of Figure 6. if the normal velocity is unknown at a part of the boundary. This introduces two extra problems.new unknown. However. As a consequence. iv and vi) and two outﬂow boundaries where for example the normal stress is prescribed (boundaries iii and v). the pressure must be computed.4.1b) gives 1 ∇uh · ∇ϕnk dΩ − Re ph div ϕnk = Ω Ω f ϕnk dΩ . and substitute non-divergence-free basis functions.37) . (6.5. . iii ii i iv vi v Figure 6. So for such boundaries it is necessary to prescribe the boundary condition Ψ is unknown constant. The second one is that. (6. at side iv we have a no-slip condition. Since ϕnk = 0 outside the two elements containing node k it is suﬃcient to consider two adjacent elements e1 and e2 as indicated in Figure 6. ii and vi may be computed from the deﬁnition (6.36) reduces to ph div ϕn dΩ = e1 ∪e2 e1 ∪e2 { 1 ∇uh · ∇ϕn − f · ϕn }dΩ . this is an equation in the unknowns p alone. The ﬁrst one is that the stream function is never unique but ﬁxed up to an additive constant.

due to the discontinuous pressure deﬁnition.4. In step 1 the pressure in the centroids is computed using the method described for the non-conforming triangle. and seems rather impractical. The computation of the pressure in the case of the extended quadratic Crouzeix-Raviart triangle is again performed in two steps.5: Two adjacent elements e1 and e2 . This is possible since each row of the divergence matrix L has only non-zero contributions for one element at a time. Hence ˆ −LT p∇ = F − S 1 u − S 2 uz + LT p . Complicating factor may be the deﬁnition of boundary conditions as shown in Section 6.37) gives ph div ϕn dΩ = e1 ∪e2 ∂e1 ph ϕh · ndΓ + ∂e2 ph ϕn · ndΓ = (p1 − p2 )L23 .39) 2 1ˆ Per element LT reduces to a (2 × 2) matrix. 2 6. Hence given p1 .6 Practical aspects of the divergence-free elements In this chapter we have shown how divergence-free elements may be constructed in 2D. A clear advantage of the use of divergence-free elements is that velocity and pressure are segregated. The construction of element matrices and vectors may be performed by the introduction of transformation matrices. So starting by prescribing the pressure in one element. This procedure may be repeated for all adjacent elements.39) immediately deﬁnes p∇ per element.38). The derivation has been restricted to discontinuous pressure elements. Once the velocity is computed a post-processing step is necessary to compute the pressure. As a consequence. this method allows the solution of the resulting systems of equations by iterative techniques. the pressure can be computed in all elements by ﬁnding neighboring elements and applying (6. The extension to threedimensional element is quite complicated. So for two-dimensional problems the method based on divergence-free elements seems very promising. To that end equation (6. 71 . 22 where L23 is the length of side 23.22a) is applied at element level. hence (6.38) ˆ where uz = −L−1 L21 u. p2 can be computed immediately. (6. the Gauss divergence theorem to the left-hand side of (6. (6. Application of 3 p2 p1 e1 1 2 n e2 4 Figure 6. without the introduction of an extra parameter to be chosen.where ϕn is the abbreviated notation for ϕnk in the common midside point. In the second step the gradient of the pressure in the centroid is computed. The pressure nodal points have been indicated.

with time-dependent coeﬃcients.2 Solution of the instationary Navier-Stokes equations by the method of lines The instationary incompressible Navier-Stokes equations read (compare with 4.7 7. and this will be an extra complicating factor. In Section 7. pdiv vdΩ = Ω Ω f · vdΩ .1b) is derived. 7. (7. (4.3): ρ ∂u + ρu · ∇u − div σ = ρf .4) in the same way as for the stationary case. the weak form of (7.25). In ﬁrst instance the velocity is computed using the pressure at the old time-level and neglecting the continuity equation.24). In general.2b) Ω We see that (7. In that case.2a) (7. and if we substitute the time-independent basis functions ϕi (x) 72 . the computed velocity is not divergence-free.1b) by a test function q. the so-called pressure correction method. the weak from of (7. (7.2b) does not contain a time-derivative. If we approximate u and p in the same way as in (4. considering the stationary solution as limit of a time-dependent solution may help to get a convergent solution.2. This method.1a) (7.1a) .1a) may be written as ρ Ω ∂u · vdΩ + ∂t Ω 2µe · ∇vdΩ + Ω ρ(u · ∇u)vdΩ − q div udΩ = 0 . alternatively.(7. However. In the next step the velocity is projected onto the space of divergencefree vectors. If we neglect the boundary integrals and furthermore apply (4.3 an alternative approach will be treated. because the iteration process does not converge well enough. To that end equation (7. consists of two steps per time-step. in some practical applications one is also interested in the time-dependent behavior of the solution. Or.1b) In order to get a ﬁnite element discretization. This step also introduces a Laplacian type equation for the pressure. With respect to the discretization of the continuity equation all three methods derived in the previous chapters may be applied.1 The instationary Navier-Stokes equations Introduction Until now we have restricted ourselves to stationary Navier-Stokes equations only. which is especially developed for time-dependent incompressible ﬂows.1a) is multiplied by a time-independent test function v and (7. ∂t div u = 0 . For that reason we shall consider some methods to solve the time-dependent Navier-Stokes equations. In ﬁrst instance we shall use the method of lines as derived in Chapter 3. sometimes it is hard to ﬁnd the solution of a stationary problem. This well be the subject of Section 7. however.

no iteration per time-step is applied. In the time-stepping algorithm it is suﬃcient to solve (7. The penalty function approach. In this last formulation one usually uses an implicit formulation with respect to the viscous terms and an explicit formulation for the convective terms. f . introduces exactly the same problems as for the stationary case. We have seen in the stationary case that the matrix corresponding to the penalty function 73 .6. Hence it is quite usual to apply a segregated formulation in order to solve (7. a smaller time-step must be used. In general. which can be written as: M= M 1 (i. the Galerkin method reduces to the solution of a system of nonlinear ordinary diﬀerential equations of the form ˙ M u + N (u) − LT p = F . However. whereas the Newton type linearization gives an 0(∆t2 ). and the two-step Adams-Bashfort discretization. With respect to the time-integration.3a-7. it is more or less necessary to combine this scheme with a Newton linearization.5b) ε p It is clear that the pressure has only to be computed. Of course the solution of the coupled equations (7. all produce an 0(∆t) error. explicit methods do not make sense. as the method with divergence-free basis functions may be applied.3b) must be satisﬁed in every stage of the time integration. whereas the other matrices remain constant in time. An important consequence is that if the equations (7.5a). The reason for this splitting is that the matrix due to the convective terms changes in each time-step. j) = Ω M1 0 0 M1 . if at a certain moment the pressure is required.3b) are solved in a coupled way.3b).3a-7.4) ϕi (x)ϕj (x)dΩ . all the classical methods. Lu = 0 .3b) has as consequence that (7. p ε (7. Both the penalty function approach.3a-7.3b). Very popular are the θ methods. The absence of a time-derivative in (7. As a consequence the same type of solution procedures will be used.3b) reads (compare with 5. such as for example the ones mentioned in Chapter 3 may be used. If the linearization is not accurate enough. applied to (7.3a) (7. Hence if the Crank-Nicolson scheme is applied. (7. L. the nonlinear terms are linearized with respect to the solution at the preceding time-level. in contrast to the stationary case.3a-7. In general exactly the same type of linearization as for the stationary case are used.respectively Ψi (x).28b) and M denotes the velocity mass matrix. The Picard type linearization of Section 4. (7. especially θ = 1/2 and θ = 1.28a-4.3b) where N . With respect to the non-linear terms. it is necessary to perform a kind of linearization. (7.12): 1 ˙ M u + N (u) + LT M −1 Lu = F .5a) 1 p = − M −1 Lu . u and p are deﬁned as in (4.

With respect to the instationary case there is another drawback. in practice. requires the solution of system of linear equations per time-step. Finally in the next section we shall treat an alternative approach for the incompressible time-independent Navier-Stokes equations.6b) reads un+1 − un ∆t + θ(− 1 ∆un+1 + un+1 · ∇un+1 + ∇pn+1 ) Re 1 + (1 − θ)(− ∆un + un · ∇un + ∇pn ) = θf n+1 + (1 − θ)f n . It is a special method for incompressible ﬂows.method has a large condition number. The θ method applied to (7.6a) (7. ∂t Re div u = 0 .6b) .3 The pressure-correction method The pressure-correction method has. The resulting velocity ﬁeld may be considered as an intermediate ﬁeld. An alternative for the penalty function method is of course to use divergence-free elements. For example in the case of a transient one usually starts with one time-step Euler-implicit in order to damp high frequencies. We shall demonstrate it for the general θ-method. Due to the penalty term such frequencies may always be present in the equations. only implicit methods are used to solve (7. the so-called pressure-correction formulation. in ﬁrst instance. Next we shall apply the space discretization ﬁrst and then derive the pressure-correction method.5a). See Cuvelier et al (1986) for the details. Hence. In the ﬁrst step the momentum equation is solved with the pressure at the preceding time-level. In the next step this intermediate ﬁeld is projected onto the space of divergence-free vector ﬁelds. 7. The Crank Nicolson scheme has the property that it does not damp high frequencies. As a consequence. (7.5a) by an explicit time integrator. due to stability requirements. been developed for ﬁnite diﬀerence methods. Although it looks as if there is no reason to use implicit time-methods for this approach. First we shall derive pressure-correction in the case that the space discretization has not yet been applied. the mass matrix M can never be put into diagonal form. This step implicitly introduces a Poisson-type equation for the pressure. One can show that the solution of (7.7a) Re 74 (7. In this step the continuity equation is not taken into account. even an explicit method. As a consequence extra damping is necessary if the solution is non-smooth in time. The pressure-correction method is strongly coupled with the type of time-discretization. As a consequence it was not possible to use iterative methods for the solution of the linear systems of equations. and than one resumes with Crank-Nicolson in order to get a good accuracy. requires time-steps which are proportional to ε.6a-7. In fact the pressure-correction method consists of two steps. Continuous approach Consider the incompressible Navier-Stokes equations in dimensionless form: ∂u 1 − ∆u + u · ∇u + ∇p = f . it must be remarked that due to the coupled character of the basis functions.

8) u∗ is provided with the boundary conditions at level n + 1.8) of course the term u∗ · ∆u∗ must be linearized with respect to the old solution un . Once the pressure correction pn+1 − pn has been computed. Subtraction of (7.10) In the second step u∗ is projected onto the space of divergence-free vector ﬁelds by applying the divergence operator to (7. This may be diﬃcult for some types of boundaries and is not natural since the originating Navier-Stokes equations do not require any pressure boundary conditions at all. (7. + θ(− (7. This problem does not appear in the so-called discrete pressure-correction method. For both equations the standard Galerkin method may be used. Equation (7. Since no special parameter is introduced. The pressure-correction method requires the solution of two partial diﬀerential equations: (7.9) is of the same order as the truncation error of the method and hence may be neglected. A clear disadvantage of the continuous pressure-correction method is that it is necessary to deﬁne boundary conditions for the pressure. ∆t (7. the momentum equation is solved using p at the old time level. As a consequence (7.8) and (7.div un+1 = 0 .7b) Here.10).11) Since div un+1 = 0.7a) gives un+1 − u∗ ∆t 1 1 ∆un+1 + un+1 · ∇un+1 + ∆u∗ − u∗ · ∇u∗ ) Re Re + θ∇(pn+1 − pn ) = 0 . (7. θ = 0 requires a slight modiﬁcation. In order to solve (7.11) can be considered as an equation for the pressure diﬀerence pn+1 − pn : div u∗ ∆(pn+1 − pn ) = . pn+1 follows immediately. Finally un+1 may be computed from (7. (7. n denotes the old time level and n + 1 the new time level. ∆t (7.10): div un+1 − div u∗ + θ div ∇(pn+1 − pn ) = 0 .12) θ∆t We have implicitly assumed that θ = 0. it is possible to solve the resulting systems of linear equations by iterative methods. + θ(− (7.9) reduces to un+1 − u∗ + θ∇(pn+1 − pn ) = 0 .8) from (7. in which ﬁrst the space discretization is applied and afterwards the pressure correction.9) It can be shown that the second term of (7.12).12) may be solved by a standard Galerkin method. 75 . In the ﬁrst step of the algorithm. This yields an intermediate velocity ﬁeld u∗ satisfying u∗ − un ∆t 1 1 ∆u∗ + u∗ · ∇u∗ ) + (1 − θ)(− ∆un + un · ∇un ) + ∇pn Re Re = θf n+1 + (1 − θ)f n . provided boundary conditions for the pressure are deﬁned along the complete boundary.

Once (7. For simplicity we consider only the Stokes equations. (7.16) In order to apply the continuity equation (7.14b) (7. Eﬃcient solution of (7.13b) Now the momentum equation (7. since the structure of the matrix LLT is in general diﬀerent from the structure of a standard Laplacian matrix.15) from (7.14a) ∆t Lun+1 = 0 . Then the pressure-correction step becomes: θLM −1 LT (pn+1 − pn ) = − Lu∗ . Hence M u∗ − u + θSu∗ + (1 − θ)Sun − LT pn = θF n+1 + (1 − θ)F n ∆t (7.16) by M −1 .14a). (7. So we start with: ˙ M u + Su − LT p = F . it is necessary to premultiply (7. (7. both structures are the same.16).3a-7. Only for the discontinuous pressure elements.14b). and neglecting the diﬀerence of the viscous terms gives: M un+1 − u∗ − θLT (pn+1 − pn ) = 0 .17) is still a research subject. 76 .17) In order to solve this equation in a simple way it is necessary that the matrix M is a diagonal matrix and furthermore that the matrix LLT can be constructed in an easy way. In practice this is a problem.15) Subtraction of (7. and ﬁnally un+1 from (7.14a) is solved with the pressure at the old level.13a) Lu = 0 .17) has been solved pn+1 can be computed. The extension to Navier-Stokes is straight-forward.13a) gives M un+1 − un + θ(Sun+1 − LT pn+1 ) + (1 − θ)(Sun − LT pn ) = θF n+1 + (1 − θ)F n . Application of the θ method to (7.Discrete approach In the discrete approach we start with the discrete equations (7. ∆t (7. ∆t (7.3b).

77 .

1) Ω Ω Proof: If we substitute w = vu in the Gauss divergence theorem div wdΩ = Ω Γ w · ndΓ . we get by applying (A. Writing div σ · v in components (we restrict ourselves to 2D).5) Ω σ · ∇vdΩ − σ11 σ12 So it remains to prove that the boundary integrals in (A.1) −(div σ11 σ12 v1 + div v1 Γ Ω σ21 σ22 n + v2 v2 )dΩ = σ12 σ22 ndΓ . Γ (A. (A.4) to the left-hand side of (A.5) can be written as σ · v · n = n · σ · v = n · σ(vn n + vt t) = n · σ · nvn + n · σ · tvt = σ nn vn + σ nt vt (A.A Derivation of the integration by parts for the momentum equations In this appendix we shall prove the relation (−div σ · v)dΩ = σ · ∇v − σ nn vn + σ nt vt dΓ .1) and (A. we get − v div udΩ = Ω Ω (A.6) 78 . (A.3) (A. The integrand in the boundary integral in (A.5) are equal.4) u · ∇vdΩ − Γ vu · ndΓ .2) and use the relation div w = v div u + u · ∇v .

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